Multiscale model selection for high-frequency financial data of a large tick stock by means of the Jensen-Shannon metric

Fabrizio Lillo, Gianbiagio Curato, Fabrizio Lillo

Research output: Contribution to journalArticlepeer-review

Original languageEnglish
Pages (from-to)567-581
Number of pages15
JournalEntropy
Volume16
Publication statusPublished - 2014

All Science Journal Classification (ASJC) codes

  • Physics and Astronomy(all)

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