Statistical properties of financial timeseries. Blok, H. J. (. . PIMS-MITACS Math Finance Seminar, U.B.C.
abstract   bibtex   
A brief introduction to Lévy flight and fractional Brownian motion from the experimentalist's perspective. Simple tools to analyze these timeseries, the Zipf plot and dispersional analysis, are presented. As a demonstration, these tools are applied to intraday foreign exchange data to determine the Lévy and Hurst exponents.
@unpublished{blok_statistical_2002,
	title = {Statistical properties of financial timeseries},
	abstract = {A brief introduction to Lévy flight and fractional Brownian motion from the experimentalist's perspective. Simple tools to analyze these timeseries, the Zipf plot and dispersional analysis, are presented. As a demonstration, these tools are applied to intraday foreign exchange data to determine the Lévy and Hurst exponents.},
	version = {1327},
	author = {Blok, Hendrik J. (Rik)},
	date = {2002},
	note = {{PIMS}-{MITACS} Math Finance Seminar, U.B.C.},
	keywords = {Rik's work}
}
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