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FX tick data
Posted: March 2nd, 2005, 11:48 pm
by JamesH83
Hi Gary,What methods have you used for testing LRD?
FX tick data
Posted: March 3rd, 2005, 9:13 pm
by Garywind
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
FX tick data
Posted: March 3rd, 2005, 10:54 pm
by JamesH83
Whats DFA? Detrended fluctuation analysis?Did you use Lo's modified RS?
FX tick data
Posted: March 5th, 2005, 8:43 pm
by Garywind
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