有限区域作为金融时间序列波动的度量

Q4 Mathematics Communications in Statistics Case Studies Data Analysis and Applications Pub Date : 2022-02-21 DOI:10.1080/23737484.2021.2019143

Ferebee Tunno, Latia Carraway

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摘要

本文提出了一种测量金融时间序列波动率的新方法，该方法与弧长相当。本文还介绍了一个涉及30只突出股票聚类的应用程序。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Bounded area as a measure of volatility for financial time series

Abstract This article presents a new way to measure the volatility of financial time series, which is shown to be on a par with arc length for such endeavors. An application involving the clustering of 30 prominent stocks is presented as well.

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来源期刊

Communications in Statistics Case Studies Data Analysis and Applications Mathematics-Analysis

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