FRACTAL STRUCTURE OF FINANCIAL HIGH FREQUENCY DATA
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We propose a new method to describe scaling behavior of time series. We introduce an extension of extreme values. Using these extreme values determined by a scale, we define some functions. Moreover, using these functions, we can measure a kind of fractal dimension — fold dimension. In financial high frequency data, observations can occur at varying time intervals. Using these functions, we can analyze non-equidistant data without interpolation or evenly sampling. Further, the problem of choosing the appropriate time scale is avoided. Lastly, these functions are related to a viewpoint of investor whose transaction costs coincide with the spread.
2015 ◽
Vol 434
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pp. 84-98
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2001 ◽
Vol 2
(1/2)
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pp. 59
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2001 ◽
Vol 04
(01)
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pp. 147-177
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2020 ◽
Vol 6
(1)
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pp. 1-9
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