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Statistical properties of short term price trends in high frequency stock market data

We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths was measured. We found that such a distribution does not fit to results following from an uncorrelated stochastic process. We proposed a simple model with a memory that gives a qualitative agreement with real data.
Year of publication:
2007-03
Authors: Pawe{\l} Sieczka ; Janusz A. Ho{\l}yst
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
Published in Physica A 387 (2008) 1218-1224
Source:
Persistent link: https://www.econbiz.de/10005083688
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