Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data

This work is devoted to the study of long correlations, memory effects and other statistical properties of high frequency (tick) data. We use a sample of 25 stocks for this purpose. We verify that the behavior of the return is compatible with that of continuous time Levy processes. We also study the presence of memory effects and long-range correlations in the values of the return.