Fractals in trade duration: Capturing long-range dependence and heavy tailedness in modeling trade duration

Wei Sun, Svetlozar Rachev, Frank J Fabozzi, Petko Stefanov Kalev

    Research output: Contribution to journalArticleResearchpeer-review

    22 Citations (Scopus)
    Original languageEnglish
    Pages (from-to)217 - 241
    Number of pages25
    JournalAnnals of Finance
    Issue number2
    Publication statusPublished - 2008

    Cite this