Properties of low variability periods in financial time series

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dc.creatorKitt, R.
dc.creatorKalda, J.
dc.date2004-06-09
dc.date2004-06-17
dc.date.accessioned2026-07-07T12:06:58Z
dc.date.available2026-07-07T12:06:58Z
dc.descriptionProperties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that this technically simple method is capable of reveling more details about time-series than the traditional multi-affine analysis. We have applied this scaling analysis to financial time series: a number of daily currency and stock index time series. The results show a good scaling behaviour for different model parameters. The analysis of high-frequency USD-EUR exchange rate data confirmed the theoretical expectations.
dc.description14 pages, 5 figures, 3 tables, Submitted to Physica A
dc.identifierhttps://arxiv.org/abs/cond-mat/0406225
dc.identifierhttp://arxiv.org/abs/cond-mat/0406225
dc.identifierPhysica A, 345, 2005, 622
dc.identifierdoi:10.1016/j.physa.2004.07.015
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208811
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleProperties of low variability periods in financial time series
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