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KIAM Preprint № 96, Moscow, 2014
Authors: Bosov A.D., Orlov Y. N., Fedorov S. L.
On the distribution of absolute values of returns for financial time series
For RTS index the filtration of enlargement type is carried out. The result of this filtration can be presented as composition of two series, one of which is stationary, but the second is non-stationary. The distribution function for time intervals between series of equal returns is constructed. This function has an exponential form. The dynamical system, generating the empirical distribution function between these series, is constructed.
non-stationary time series, RTS index, self-consistent stationary level, non-stationary index, filtration
Publication language: russian,  pages: 15
Research direction:
Mathematical modelling in actual problems of science and technics
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