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.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/18218
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