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FX tick data

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JamesH83
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Joined: June 25th, 2003, 11:38 pm

FX tick data

March 2nd, 2005, 11:48 pm

Hi Gary,What methods have you used for testing LRD?
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Garywind
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Joined: July 30th, 2002, 1:25 am

FX tick data

March 3rd, 2005, 9:13 pm

Hi James,R/S, DFA and Periodorgram, and using empirical distribution to test signficance. what about u?could you please send me some high freq data you got? I really need them to carry on my study. many thanks.cheers,Gary
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JamesH83
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Joined: June 25th, 2003, 11:38 pm

FX tick data

March 3rd, 2005, 10:54 pm

Whats DFA? Detrended fluctuation analysis?Did you use Lo's modified RS?
Last edited by JamesH83 on March 2nd, 2005, 11:00 pm, edited 1 time in total.
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Garywind
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Joined: July 30th, 2002, 1:25 am

FX tick data

March 5th, 2005, 8:43 pm

Hi James,Yes, but as suggested by literature, the original R/S is too weak and modified R/S is a bit too strong. So I do them just for an exercise. Cheers,Gary
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