Long-range dependence in volatility is one of the most prominent examples of applications in financial market research involving universal power laws. Its characterization has recently spurred attempts at theoretical explanation of the underlying mechanism. This paper contributes to this recent...

The methods of various moving average rules remain popular with financial market practitioners. These rules have recently become the focus of empirical studies. However there seem to have been very few studies on the analysis of the type of financial market dynamics resulting from the fact that...

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