High Frequency Data and Volatility, in Foreign Exchange Rates (Classic Reprint)

Excerpt from High Frequency Data and Volatility, in Foreign Exchange Rates

Since the consecutive prices are nonstationary, it is appropriate to study changes in prices. Like many other researchers, I prefer to study the compound return (which is defined as the difference in the logarithmic value of the bid prices). Table 2 shows the summary statistics of the tick-by-tick returns.

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Dettagli sul prodotto

• Autori: Bin Zhou
• Editore: Forgotten Books
• Lingue: Inglese
• Formato: Tascabile
• Pubblicazione: 30.06.2015
• Pagine: 34
• Dimensioni: 152 mm x 229 mm x 2 mm
• Peso: 61 g
• Categorie: Scienze naturali, medicina, informatica, tecnica > Matematica > Teoria delle probabilità, stocastica, statistica matematica; Scienze umane, arte, musica > Storia