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A model for interevent times with long tails and multifractality in human communications: An application to financial trading
model interevent times long tails multifractality human communications application financial trading
2010/12/17
Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics ob...
The foreign exchange market: return distributions, multifractality, anomalous multifractality and Epps effect
foreign exchange market multifractality Epps effect
2010/12/13
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-G...