Hidden temporal order unveiled in stock market volatility variance
When analyzed by standard statistical methods, the time series of the daily return of financial indices appear to behave as Markov random series with no apparent temporal order or memory. This empirical result seems to be counter intuitive since investor are influenced by both short and long term pa...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIP Publishing LLC
2011-06-01
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| Series: | AIP Advances |
| Online Access: | http://dx.doi.org/10.1063/1.3598412 |