Cont R. Long range dependence in financial markets. Fractals in Engineering. Springer; 2005. p. 159-79.Rama Cont. Long range dependence in financial markets. In Fractals in Engineering, pages 159-180. Springer, 2005.Cont, R. (2005). Long range dependence in financial markets. In Fractals ...
In this work we measure the evolution of the long-range dependence phenomenon of returns and volatilities of nominal British exchange rates (British pound against US dollar) futures contracts negotiated on the Chicago Mercantile Exchange from 1986 to 2004. The measurement employs the R/S classic ana...
Information measure for long-range correlated time series: Quantifying horizon dependence in financial markets Market dynamics is quantified via the cluster entropy S(tau, n) = Sigma P-j(j)(tau, n) log P-j(tau, n), an information measure with P-j (tau, n) the probab... PCA Ponta -...
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and forec...
Also was evidenced random walk behavior for two markets and for the five other markets, the value the DFA test is smaller, which helps on the affirmative that the participation of long-range dependence in the formation of the prices weekly is minimum. 展开 ...
Long‐term Dependence in Asian Foreign Exchange MarketsLong‐term dependenceRescaled range analysisHurst exponentAsian marketsWe investigate the long-term dependency behavior of Asian foreign exchange markets by using rescaled range analysis. Emerging markets in Korea, Taiwan, India, and Thailand, show ...
A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of Southeast Europelong-range dependencewavelet transformmultiscale autoregressive (MAR) modelSoutheast European stock markets...
The statistical analysis of simulated data points toward long-term dependence in the auto-correlations of squared and absolute returns and hyperbolic decay in the tail of the distribution of raw returns, both with estimated decay parameters in the same range like those of empirical data. ...
These modules allow to integrate the long term dependence of the sequences. This LSTM network has shown a strong performance in the prediction of financial series. This LSTM network has been applied in many areas. Among others, in the text translation (Datta et al. 2020), large vocabulary ...
Long-range dependence in tree-ring width time series of Austrocedrus Chilensis revealed by means of the detrended fluctuation analysis. Physica A 389, 4096–4104 (2010). 49. Gao, J. B., Hu, J., Mao, X. & Perc, M. Culturomics meets random fractal theory: Insights into long-range ...