Properties of low variability periods in financial time series
Statistical Mechanics
2008-12-02 v2 Statistical Finance
Abstract
Properties 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.
Cite
@article{arxiv.cond-mat/0406225,
title = {Properties of low variability periods in financial time series},
author = {R. Kitt and J. Kalda},
journal= {arXiv preprint arXiv:cond-mat/0406225},
year = {2008}
}
Comments
14 pages, 5 figures, 3 tables, Submitted to Physica A