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Study of statistical correlations in intraday and daily financial return time series
Study of statistical correlations intraday daily financial return time series Statistical Finance
2012/4/28
The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using the intraday data of t...
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in under-
standing the origin of this behavior. Here, we present a model that explains the shape and scaling of the...