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| First Page | Document Content | |
|---|---|---|
 Date: 2005-04-15 18:15:39Random walk Brownian motion Hurst exponent Continuous wavelet transform Autoregressive conditional heteroskedasticity Power law Normal distribution Wavelet Central limit theorem Statistics Stochastic processes Detrended fluctuation analysis |
| Gold, currencies and market efficiencyDocID: 1pkY4 - View Document |
| doi:j.physaDocID: 1oZwf - View Document |
| Sources of Long-Range Dependence Why is the Internet Long-Range Dependent? Richard Clegg () Networks and Nonlinear Dynamics Group, Department of Mathematics, University of YorkDocID: 1oEhY - View Document |
| Physica A–578 www.elsevier.com/locate/physa Simple model of a limit order-driven market Sergei MaslovDocID: 1aBP6 - View Document |
| Rough Volatility Jim Gatheral Baruch College (Dated: February 19, 2015) Starting from the observation that increments of the log-realized-volatility possess a remarkably simple scaling property, we show that log-volatiliDocID: 1aovs - View Document |