Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time

by Vladimir Petrov, Anton Golub, Richard Olsen
Published 2019-04-01

Uncovering Discrete Non-Linear Dependence with Information Theory

by Anton Golub, Gregor Chliamovitch, Alexandre Dupuis, Bastien Chopard
Published 2015-04-01