English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

We address the problem of long-range memory in the financial markets. Thereare two conceptually different ways to reproduce power-law decay ofauto-correlation function: using fractional Brownian motion as well asnon-linear stochastic differential equations. In this contribution we addressthis problem by analyzing empirical return and trading activity time seriesfrom the Forex. From the empirical time series we obtain probability densityfunctions of burst and inter-burst duration. Our analysis reveals that thepower-law exponents of the obtained probability density functions are close to$3/2$, which is a characteristic feature of the one-dimensional stochasticprocesses. This is in a good agreement with earlier proposed model of absolutereturn based on the non-linear stochastic differential equations derived fromthe agent-based herding model.

Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets