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

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@article{2285ae6e664f4cef9e90c39ff747d7f2,

title = "Fractals in trade duration: Capturing long-range dependence and heavy tailedness in modeling trade duration",

author = "Wei Sun and Svetlozar Rachev and Fabozzi, {Frank J} and Kalev, {Petko Stefanov}",

year = "2008",

doi = "10.1007/s10436-007-0078-y",

language = "English",

volume = "4",

pages = "217 -- 241",

journal = "Annals of Finance",

issn = "1614-2446",

publisher = "Springer-Verlag London Ltd.",

number = "2",

}

TY - JOUR

T1 - Fractals in trade duration: Capturing long-range dependence and heavy tailedness in modeling trade duration

AU - Sun, Wei

AU - Rachev, Svetlozar

AU - Fabozzi, Frank J

AU - Kalev, Petko Stefanov

PY - 2008

Y1 - 2008

U2 - 10.1007/s10436-007-0078-y

DO - 10.1007/s10436-007-0078-y

M3 - Article

VL - 4

SP - 217

EP - 241

JO - Annals of Finance

JF - Annals of Finance

SN - 1614-2446

IS - 2

ER -