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Exploratory analysis of intradaily stock returns: a semi Markov chain approach
Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Information Science, Statistics.
Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Information Science, Statistics.
2004 (English)Report (Other academic)
Abstract [en]

In this paper, we study the intradaily distributional and temporal properties of the IBM stock in the time period November 1990 until February 1991. We do this by exploratory analysis by means of semi Markov chains, i. e. a Markov chain where time between events is considered random. Furthermore, the behaviour of the methods is studied under some commonly used models.

Place, publisher, year, edition, pages
Uppsala: Institutionen för informationsvetenskap , 2004. , p. 30
Series
Research report, ISSN 1403-7572 ; 2004:4
Keyword [en]
Intraday data, Duration, Volatility, Exploratory analysis, Semi Markov chain
Identifiers
URN: urn:nbn:se:uu:diva-4830OAI: oai:DiVA.org:uu-4830DiVA, id: diva2:129356
Available from: 2005-03-01 Created: 2005-03-01

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