Return or stock price differences
统计力学
2008-12-02 v1 统计金融
摘要
The analysis which assumes that tick by tick data is linear may lead to wrong conclusions if the underlying process is multiplicative. We compare data analysis done with the return and stock differences and we study the limits within the two approaches are equivalent. Some illustrative examples concerning these two approaches are given. Actual data is taken from S&P 500 stock cash index.
关键词
引用
@article{arxiv.cond-mat/0111529,
title = {Return or stock price differences},
author = {Jaume Masoliver and Miquel Montero and Josep Perello},
journal= {arXiv preprint arXiv:cond-mat/0111529},
year = {2008}
}
备注
21 pages, 5 figures (8 plots), submitted for publication