Price models with weakly correlated processes

Price models with weakly correlated processes

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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...

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Bibliographic Details
Main Authors: Richter, Matthias, Starkloff, Hans-Jörg, Wunderlich, Ralf
Language:English
Published: Technische Universität Chemnitz 2004
Subjects:
info:eu-repo/classification/ddc/510
ddc:510
arbitrage
bounded variation processes
financial analysis
short-range correlation effects
weakly correlated processes
Online Access:http://nbn-resolving.de/urn:nbn:de:swb:ch1-200401285
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http://nbn-resolving.de/urn:nbn:de:swb:ch1-200401285
https://monarch.qucosa.de/id/qucosa%3A18207
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https://monarch.qucosa.de/api/qucosa%3A18207/attachment/ATT-1/

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