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Martin Sewell
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Martin Sewell
Martin Sewell
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BE●●RD , Bedfordshire, MK44 1PQ
GB
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Long Memory | long-memory.com Reviews
https://long-memory.com
Long memory
long-memory.com
Long memory in Volume
http://www.long-memory.com/volume
Long memory in Volume. LOBATO, I.N. and C. VELASCO, 2000. Long memory in stock-market trading volume. Journal of Business and Economic Statistics. Vol 18, No. 4. (Oct., 2000), pp. 410-427. [ Cited by 30. LUX, T. and T. KAIZOJI, 2004. Forecasting Volatility and Volume in the Tokyo Stock Market: The Advantage of Long Memory Models. LIESENFELD, R., Identifying Common Long-Range Dependence in Volume and Volatility Using High-Frequency Data. FERA, F., et al. Members.jcom.home.ne.jp.
Rescaled Range Analysis Software
http://www.long-memory.com/hurst
Rescaled Range Analysis Software. Calculates the Hurst exponent.
Fractional Brownian Motion
http://www.long-memory.com/fractional-brownian-motion
CONT, R., 2001. Empirical properties of asset returns: stylized facts and statistical issues. ROGERS, L.C.G., 1997. Arbitrage with Fractional Brownian Motion. AUSLOOS, M., 2000. Statistical physics in foreign exchange currency and stock markets. MULLER, U.A., et al. 1995 Fractals and Intrinsic Time: A Challenge to Econometricians. Olsen and Associates, Zurich Preprint. The goal of this paper is to demonstrate how the analysis of high-frequency data and the finding of fractal properties lead to the hypoth...
Multifractality
http://www.long-memory.com/multifractality
In mathematical analysis, multifractal analysis is the process of determining the fractal dimension of a multifractal system.". Multifractal analysis - Wikipedia. Thus, there is apparent multifractal behavior, even though asymptotically the process is just a simple fractal, with all the moments determined by the scaling of a single moment. For a short data set, a simple fractal process might look like a multifractal process due to slow convergence.". Bouchaud, Potters and Meyer (2000). YAMASAKI, K. a...
Long memory in Volatility
http://www.long-memory.com/volatility
Long memory in Volatility. A weakly stationary process has short memory when its autocorrelation function (ACF)? DING, Zhuanxin, Clive W. J. GRANGER and Robert F. ENGLE, 1993. A long memory property of stock market returns and a new model, Journal of Empirical Finance. Volume 1, Issue 1, June 1993, Pages 83-106. [ Cited by 593. Also has quite high autocorrelation for long lags. It is possible to characterize ¦ r. To be ‘long memory’ and this property is strongest when d. BARNDORFF-NIELSEN, Ole E. and...
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Long Memory
Range over standard deviation. Statistic. From 1951 to 1956, Hurst, then in his seventies, published a series of papers describing his findings (Hurst, 1951). Hurst’s rescaled range ( R/S. Statistic is the range of partial sums of deviations of a time series from its mean, rescaled by its standard deviation. Rescaled range analysis software in C. Excel spreadsheets which calculate the rescaled range statistic, or Hurst coefficient, listed below:. Definition of long memory. Long memory in returns. BAILLIE...
Blog de Long-Memory - Saison deux de Only two groups. - Skyrock.com
Mot de passe :. J'ai oublié mon mot de passe. Plus d'actions ▼. S'abonner à mon blog. Création : 12/01/2013 à 09:32. Mise à jour : 04/06/2013 à 11:51. Saison deux de Only two groups. JE SUPPRIME LE BLOG MAIS LA FICTION (saison une) continue sur ma page facebook. Actuellement j'ai 5 fictions en cours sur ma page, oseeeeef. Si je supprime le blog, c'est que je n'est plus le temps d'y aller ou j'y pense pas vraiment. J'espère avoir beaucoup de mes lecteurs d'ici, sur ma page. Ou poster avec :.
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