Detecting market crashes by analysing long-memory effects using high-frequency data
QUANTITATIVE FINANCE(2012)
摘要
It is well known that returns for financial data sampled with high frequency exhibit memory effects, in contrast to the behavior of the much celebrated log-normal model. Herein, we analyse minute data for several stocks over a seven-day period which we know is relevant for market crash behavior in the US market, March 10-18, 2008. We look at the relationship between the Levy parameter alpha characterizing the data and the resulting H parameter characterizing the self-similar property. We give an estimate of how close this model is to a self-similar model.
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关键词
Long memory effects,Data sampled with high frequency,Levy processes,Hurst parameter,Detrended fluctuation analysis,Truncated Levy flight
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