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Understanding the source of multifractality in financial markets
Understanding source multifractality financial markets
2012/3/2
In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting di...
Response of double-auction markets to instantaneous Selling-Buying signals with stochastic Bid-Ask spread
Bid-Ask spread Response function Minority game Stochastic process Econophysics
2010/11/9
Statistical properties of double-auction markets with Bid-Ask spread in market order are investigated through the response function. We first attempt to utilize the so-called Madhavan-Richardson-Rooma...