Long Correlations and Levy Models Applied to the Study of Memory Effects in High Frequency (Tick) Data

Physica A, 389(8), April 2010, pp 1653-1664

12 Pages Posted: 26 May 2012 Last revised: 23 Mar 2018

See all articles by Maria Mariani

Maria Mariani

University of Texas at El Paso

Ionut Florescu

Stevens Institute of Technology

Maria Beccar-Varela

University of Texas at El Paso

Emmanuel Ncheuguim

New Mexico State University

Date Written: January 1, 2009

Abstract

Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The financial time-series data of these indices are tested with the Normalized Truncated Levy Flight to check whether the evolution of these indices is explained by the TLF.

Some features that seem to be specific for international indices are discovered and briefly discussed. In particular, a potential investor seems to be faced with new investment opportunities in emerging markets during and especially after a crisis.

Keywords: EAFE Index, International stock market indices, Detrended fluctuation analysis, R/S Analysis

JEL Classification: C2

Suggested Citation

Mariani, Maria and Florescu, Ionut and Beccar-Varela, Maria and Ncheuguim, Emmanuel, Long Correlations and Levy Models Applied to the Study of Memory Effects in High Frequency (Tick) Data (January 1, 2009). Physica A, 389(8), April 2010, pp 1653-1664. Available at SSRN: https://ssrn.com/abstract=2066888

Maria Mariani (Contact Author)

University of Texas at El Paso ( email )

500 West University
El Paso, TX TX 79968-0545
United States

Ionut Florescu

Stevens Institute of Technology ( email )

Castle Point on the Hudson
Hoboken, NJ 07030
United States

Maria Beccar-Varela

University of Texas at El Paso ( email )

500 West University
El Paso, TX TX 79968-0545
United States

Emmanuel Ncheuguim

New Mexico State University ( email )

College of Business
Las Cruces, NM 88003
United States

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