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