英文标题：
《Intra-day variability of the stock market activity versus stationarity
of the financial time series》
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作者：
T. Gubiec and M. Wili\\\'nski
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最新提交年份：
2014
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英文摘要：
We describe the impact of the intra-day activity pattern on the autocorrelation function estimator. We obtain an exact formula relating estimators of the autocorrelation functions of non-stationary process to its stationary counterpart. Hence, we proved that the day seasonality of inter-transaction times extends the memory of as well the process itself as its absolute value. That is, both processes relaxation to zero is longer.
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中文摘要：
我们描述了日内活动模式对自相关函数估计器的影响。我们得到了非平稳过程的自相关函数的估计量与其平稳对应物之间的精确关系式。因此，我们证明了交易时间的日季节性扩展了过程本身的记忆，也扩展了其绝对值。也就是说，两个过程松弛到零的时间更长。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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