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A distribution-based method to gauge market liquidity through scale invariance between investment horizons

pubblicato su: APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY - 2020

Bianchi Sergio, Pianese Augusto, Frezza Massimiliano

A new estimator of the self-similarity exponent through the empirical likelihood ratio test

pubblicato su: JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION - 2020

Bianchi Sergio, Li Qiushi

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2020 (2) Apply 2020 filter

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01 Pubblicazione su rivista (2) Apply 01 Pubblicazione su rivista filter

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APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY (1) Apply APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY filter
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION (1) Apply JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION filter

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Keywords

(-) Remove self-similarity filter self-similarity
distribution-based test (1) Apply distribution-based test filter
empirical likelihood ratio (1) Apply empirical likelihood ratio filter
fractal market hypothesis (1) Apply fractal market hypothesis filter
fractional Brownian motion (1) Apply fractional Brownian motion filter
investment horizons (1) Apply investment horizons filter
scale invariance (1) Apply scale invariance filter

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