Detection and reconstruction of catastrophic breaks of...

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Physica A: Statistical Mechanics and its Applications 2020 / 1

Detection and reconstruction of catastrophic breaks of high-frequency financial data with local linear scaling approximation

Xing, Jieli, Zhang, Yongjie, Chu, Gang, Pan, Qi, Zhang, Xiaotao
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Journal:
Physica A: Statistical Mechanics and its Applications
DOI:
10.1016/j.physa.2019.124121
Date:
January, 2020
File:
PDF, 1.12 MB
2020
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