Open AccessJumps in High-Frequency Data: Spurious Detections, Dynamics, and News
Author(s) -
Pierre Bajgrowicz,
Olivier Scaillet,
Adrien Treccani
Publication year - 2011
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1343900
Subject(s) - spurious relationship , dynamics (music) , statistical physics , physics , econometrics , computer science , mathematics , acoustics , statistics
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