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Long range dependence in financial markets

  • Rama Cont

Summary

The notions of self-similarity, scaling, fractional processes and long range dependence have been repeatedly used to describe properties of financial time series: stock prices, foreign exchange rates, market indices and commodity prices. We discuss the relevance of these properties in the context of financial modelling, their relation with the basic principles of financial theory and possible economic explanations for their presence in financial time series.

Keywords

Stock Market Long Range Stock Return Fractional Brownian Motion Asset Return 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag London Limited 2005

Authors and Affiliations

  • Rama Cont
    • 1
  1. 1.Centre de Mathématiques appliquéesEcole PolytechniqueFrance

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