Price models with weakly correlated processes
Empirical autocorrelation functions of returns of stochastic price processes show phenomena of correlation on small intervals of time, which decay to zero after a short time. The paper deals with the concept of weakly correlated random processes to describe a mathematical model which takes into acco...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Others |
| Language: | English |
| Published: |
Universitätsbibliothek Chemnitz
2004
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| Subjects: | |
| Online Access: | http://nbn-resolving.de/urn:nbn:de:swb:ch1-200401285 http://nbn-resolving.de/urn:nbn:de:swb:ch1-200401285 http://www.qucosa.de/fileadmin/data/qucosa/documents/4876/data/ri_st_wu_tagungsband_2003.pdf http://www.qucosa.de/fileadmin/data/qucosa/documents/4876/20040128.txt |