Evidence of Markov properties of high frequency exchange rate data
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DOI: 10.1016/S0378-4371(01)00269-2
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- Jun-ichi Maskawa & Koji Kuroda, 2020. "Model of continuous random cascade processes in financial markets," Papers 2010.12270, arXiv.org.
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Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 81-92.
- Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2001. "Semiparametric Diffusion Estimation and Application to a Stock Market Index," Research Paper Series 51, Quantitative Finance Research Centre, University of Technology, Sydney.
- Härdle, Wolfgang & Kleinow, Torsten & Korostelev, Alexander P. & Logeay, Camille & Platen, Eckhard, 2001. "Semiparametric diffusion estimation and application to a stock market index," SFB 373 Discussion Papers 2001,24, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Ausloos, Marcel & Ivanova, Kristinka & Siwy, Zuzanna, 2004. "Searching for self-similarity in switching time and turbulent cascades in ion transport through a biochannel. A time delay asymmetry," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(3), pages 319-333.
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- Wosnitza, Jan Henrik & Leker, Jens, 2014. "Can log-periodic power law structures arise from random fluctuations?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 228-250.
- Hirata, Yoshito & Aihara, Kazuyuki, 2012. "Timing matters in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 760-766.
- Seemann, Lars & Hua, Jia-Chen & McCauley, Joseph L. & Gunaratne, Gemunu H., 2012. "Ensemble vs. time averages in financial time series analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(23), pages 6024-6032.
- Kozaki, M. & Sato, A.-H., 2008. "Application of the Beck model to stock markets: Value-at-Risk and portfolio risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1225-1246.
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- Rajabzadeh, Yalda & Rezaie, Amir Hossein & Amindavar, Hamidreza, 2016. "A robust nonparametric framework for reconstruction of stochastic differential equation models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 294-304.
- Buchbinder, G.L. & Chistilin, K.M., 2007. "Multiple time scales and the empirical models for stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 168-178.
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Keywords
Econophysics; Markov processes; FX data;All these keywords.
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