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This work is devoted to the study of long correlations, memory effects and other statistical properties of high frequency (tick) data. We use a sample of 25 stocks for this purpose. We verify that the behavior of the return is compatible with that of continuous time Levy processes. We also study the presence of memory effects and long-range correlations in(More)
Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The financial time-series data of these indices are tested with the(More)
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