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Is a tick an elementary jump in a random walks scheme on the stock market?

Authors :
Mikhail Yur'evich Romanovsky
Pavel Victorovich Vidov
Vladimir Andreevich Pyrkin
Source :
Компьютерные исследования и моделирование, Vol 2, Iss 2, Pp 219-223 (2010)
Publication Year :
2010
Publisher :
Institute of Computer Science, 2010.

Abstract

In this paper average times between elementary jumps of stock returns on the Russian market were experimentally studied. Considering the scaling of the probability density function of stock returns on different time intervals it is shown that an elementary jump in the random walks scheme for financial instrument returns is a unit price change (tick) that corresponds to a single deal on the stock market.

Details

Language :
Russian
ISSN :
20767633 and 20776853
Volume :
2
Issue :
2
Database :
Directory of Open Access Journals
Journal :
Компьютерные исследования и моделирование
Publication Type :
Academic Journal
Accession number :
edsdoj.8b6b0ca90bd4df0bcf9b213ecba8667
Document Type :
article
Full Text :
https://doi.org/10.20537/2076-7633-2010-2-2-219-223