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One of the stylized facts of the financial markets states that the log-returns of the stock price on consecutive daysri= log(Si/Si1) are (pick one): i)
One of the stylized facts of the financial markets states that the log-returns of the stock price on consecutive daysri= log(Si/Si1) are (pick one):
i) Positively correlated
ii) Negatively correlated
iii) Uncorrelated
1) Does this property hold also for the squared returnsri2and the absolute
values of the returns|ri|?
2) Does this stylized fact remain valid for microstructure data? If not,
what is different at the microscale?
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