Statistical properties of financial timeseries (2002)
PIMS-MITACS Math Finance Seminar, UBC
- Blok (2002)
- Blok, H. (2002). Statistical properties of financial timeseries. Retrieved from https://www.cs.ubc.ca/~rikblok/research/presented/blok02/index.html
Abstract
A brief introduction to Lévy flight and fractional Brownian motion from the experimentalist’s perspective. Simple tools to analyze these timeseries, the Zipf plot and dispersional analysis, are presented. As a demonstration, these tools are applied to intraday foreign exchange data to determine the Lévy and Hurst exponents.