Statistical properties of short term price trends in high frequency stock market data
Physics and Society
2009-11-13 v2 Statistical Finance
Abstract
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.
Cite
@article{arxiv.physics/0703208,
title = {Statistical properties of short term price trends in high frequency stock market data},
author = {Paweł Sieczka and Janusz A. Hołyst},
journal= {arXiv preprint arXiv:physics/0703208},
year = {2009}
}
Comments
10 pages, 9 figures, in ver. 2 one chapter added