In this paper we perform a quantitative check of long term correlations and multi-affinity in Deutsche Mark/US Dollar exchange rates using high frequency data. We show that the use of business time, i.e., the ranking of the quotes in the sequences, eliminates most of the seasonality in financial-time series, allowing a precise estimation of some return anomalies. (C) 2001 Elsevier Science B.V. All rights reserved.
Correlations and multi-affinity in high frequency financial datasets
SERVA, Maurizio;
2001-01-01
Abstract
In this paper we perform a quantitative check of long term correlations and multi-affinity in Deutsche Mark/US Dollar exchange rates using high frequency data. We show that the use of business time, i.e., the ranking of the quotes in the sequences, eliminates most of the seasonality in financial-time series, allowing a precise estimation of some return anomalies. (C) 2001 Elsevier Science B.V. All rights reserved.File in questo prodotto:
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