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arXiv · 1408.6255

Intra-day variability of the stock market activity versus stationarity of the financial time series

T. Gubiec·M. Wiliński
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Abstract

We describe the impact of the intra-day activity pattern on the autocorrelation function estimator. We obtain an exact formula relating estimators of the autocorrelation functions of non-stationary process to its stationary counterpart. Hence, we proved that the day seasonality of inter-transaction times extends the memory of as well the process itself as its absolute value. That is, both processes relaxation to zero is longer.

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T. Gubiec, M. Wiliński. 2014-08-26. Intra-day variability of the stock market activity versus stationarity of the financial time series. https://doi.org/10.1016/j.physa.2015.03.033

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