1/f (One-Over-F) Noise (or Related Topics)
in Financial Data

2001

• BJW Fleming, D Yu, RG Harrison, D Jubb (2001),
  "Wavelet-based detection of coherent structures and self-affinity in financial data",
  European Physical Journal B, 20:543-546.

• Andrew Lo (2001),
  "Fat tails, long memory, and the stock market since the 1960's",
  in Economic Notes (Banca Monte dei Paschi di Siena).

• PM Robinson (2001),
  "The memory of stochastic volatility models",
  Journal of Econometrics, 101(2):195-218.

2000

• Tim Bollerslev, Jun Cai, Frank M. Song (2000),
  "Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market",
  Journal of Empirical Finance, 7(1):37-55.

• P Gopikrishnan, V Plerou, X Gabaix, HE Stanley (2000),
  "Statistical properties of share volume traded in financial markets",
  Physical Review E, 62:R4493-R4496.

• Ming Liu (2000),
  "Modeling long memory in stock market volatility",
  Journal of Econometrics, 99(1):139-171.

1999

• CF Baum, JT Barkoulas, M Caglayan (1999),
  "Long memory or structural breaks: can either explain nonstationary real exchange rates under the current float?",
  Journal of International Financial Markets, Institutions, and Money, 9:359-376.

• CS Bos, PH Franses, M Ooms (1999),
  "Long memoey and level shifts: re-analyzing inflation rates",
  Empirical Economics, 24:427-449.

• Andrew Lo, A Craig MacKinlay (1999),
  A Non-Random Walk Down Wall Street (Princeton Univ Press).
  [ sample texts from the publisher]

• W Willinger, MS Taqqu, V Teverovsky (1999),
  "Stock price return indices and long-range dependence",
  Finance and Stochastics, 3:1-13.

1998

• IN Lobato, NE Savin (1998),
  "Real and spurious long-memory properties of stock-market data (with comments)",
  Journal of Business & Economic Statistics, 16:261-283.

1997

• B B Mandelbrot (1997),
  Fractals and Scaling in Finance: Discountinuity, Concentration, Risk ,
  (Springer-Verlag)

• Joseph Haubrich, Andrew Lo (1997),
  "The sources and nature and long-range dependence in the business cycle",
  Working Paper LFE-97-1024 (MIT).

1996

• Rosario N. Mantegna, H. Eugene Stanley (1996),
  "Turbulence and financial markets" (Sceintific Correspondence),
  Nature, 383:587-588.

1993

• Z Ding, CWJ Granger, R Engle (1993),
  "A long memory property of stock market returns and a new model",
  Journal of Empirical Finance, 1:83-106.

1991

• Tim Bollerslev, Jonathan H Wright (2000),
  "Semiparametric estimation of long-memory volatility dependencies: the role of high-frequency data",
  Journal of Econometrics, 98(1):81-106.

• Wentian Li (1991),
  "Absence of 1/f spectra in Dow Jones daily average",
  International Journal of Bifurcation and Chaos, 1(3):583-597.
  [ abstract]

• Andrew Lo (1991),
  "Long-term memory in stock market prices",
  Econometrica, 59:1279-1313.
  [ abstract] [ PDF ]

1990

• Susan Porter-Hudak (1990),
  "An application of the seasonal fractionally differenced model to the monetary aggregates",
  Journal of the American Statistical Association, 85(410):338-344.

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