How Fast Does the Clock of Finance Run?—A Time-Definition Enforcing Stationarity and Quantifying Overnight Duration
A definition of time based on the assumption of scale invariance may enhance and simplify the analysis of historical series with cyclically recurrent patterns and seasonalities. By enforcing simple-scaling and stationarity of the distributions of returns, we identify a successful protocol of time de...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-08-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1911-8074/14/8/384 |