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19992012
most citedWaiting-times and returns in high-frequency financial data: an empirical study

511 citations · 1.2k across the 12 of their papers we have counts for

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q-fin.ST2012

Modeling non-stationarities in high-frequency financial time series

Linda Ponta, Mailan Trinh, Marco Raberto +2

We study tick-by-tick financial returns belonging to the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We can confirm previously detected non-stationarities. Howev…