2 papers
physics.soc-ph2006
Hidden Forces and Fluctuations from Moving Averages: A Test Study
V. Alfi, F. Coccetti, M. Marotta +2
The possibility that price dynamics is affected by its distance from a moving average has been recently introduced as new statistical tool. The purpose is to identify the tendency…
cond-mat.stat-mech2006
Exact Results for the Roughness of a Finite Size Random Walk
V. Alfi, F. Coccetti, M. Marotta +2
We consider the role of finite size effects on the value of the effective Hurst exponent H. This problem is motivated by the properties of the high frequency daily stock-prices. Fo…