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J. B. Ramsay and H. J. Yuan, “Bias and Error Bars in Dimension Calculations and Their Evaluation in Some Simple Models,” Physics Letters A, Vol. 134, No. 5, 1989, pp. 287-297. doi:10.1016/0375-9601(89)90638-5

has been cited by the following article:

• TITLE: The Effect of Tick Size on Testing for Nonlinearity in Financial Markets Data

  AUTHORS: Heather Mitchell, Michael McKenzie

  KEYWORDS: Compass Rose, Tick/Volatility Ratio, BDS test, Close Returns Test

  JOURNAL NAME: Journal of Mathematical Finance, Vol.1 No.1, June 1, 2011

  ABSTRACT: The discrete nature of financial markets time-series data may prejudice the BDS and Close Returns test for nonlinearity. Our estimation results suggest that a tick/volatility ratio threshold exists, beyond which the test results are biased. Further, tick/volatility ratios that exceed these thresholds are frequently observed in financial markets data, which suggests that the results of the BDS and CR test must be interpreted with caution.