We compare our results on empirical analysis of financial data with simulations of two stochastic models of the dynamics of stock market prices. The two models are (i) the truncated Lévy flight recently introduced by us and (ii) the ARCH(1) and GARCH(1,1) processes. We find that the TLF well...

We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather complex under several ways. Specifically, they are...

We study the development of an emerging market – the Budapest Stock Exchange – by investigating the time evolution of some statistical properties of heavily traded stocks. Moving quarter by quarter over a period of two and a half years we analyze the scaling properties of the standard...

In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and investigate the statistical characteristics of this index. Our results show...

We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by extracting its first two central moments. According to...