Ensemble properties of high-frequency data and intraday trading rules
Author:
Affiliation:
1. Dipartimento di Fisica and Sezione INFN, Università di Padova, Via Marzolo 8, I-35131 Padova, Italy.
2. Dipartimento di Scienze Economiche ed Aziendali, Università di Padova, Via del Santo, I-35123 Padova, Italy.
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2013.867454
Reference25 articles.
1. A Theory of Intraday Patterns: Volume and Price Variability
2. Individual and collective stock dynamics: intra-day seasonalities
3. Intraday periodicity and volatility persistence in financial markets
4. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
5. Modeling the Non-Markovian, Non-stationary Scaling Dynamics of Financial Markets
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