{
  "id": "cond-mat/0406225",
  "version": "v2",
  "published": "2004-06-09T15:33:10.000Z",
  "updated": "2004-06-17T18:33:43.000Z",
  "title": "Properties of low variability periods in financial time series",
  "authors": [
    "R. Kitt",
    "J. Kalda"
  ],
  "comment": "14 pages, 5 figures, 3 tables, Submitted to Physica A",
  "journal": "Physica A, 345, 2005, 622",
  "doi": "10.1016/j.physa.2004.07.015",
  "categories": [
    "cond-mat.stat-mech",
    "q-fin.ST"
  ],
  "abstract": "Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that this technically simple method is capable of reveling more details about time-series than the traditional multi-affine analysis. We have applied this scaling analysis to financial time series: a number of daily currency and stock index time series. The results show a good scaling behaviour for different model parameters. The analysis of high-frequency USD-EUR exchange rate data confirmed the theoretical expectations.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2004-06-17T18:33:43.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "financial time series",
      "low variability periods",
      "properties",
      "high-frequency usd-eur exchange rate data"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 14,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}