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Statistical properties of short term price trends in high frequency stock market data

Author

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  • Sieczka, Paweł
  • Hołyst, Janusz A.

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 were measured. We found that such a distribution does not fit to the results following from an uncorrelated stochastic process. We proposed a simple model with a memory that gives a qualitative agreement with the real data.

Suggested Citation

  • Sieczka, Paweł & Hołyst, Janusz A., 2008. "Statistical properties of short term price trends in high frequency stock market data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1218-1224.
    • Handle: RePEc:eee:phsmap:v:387:y:2008:i:5:p:1218-1224
    DOI: 10.1016/j.physa.2007.10.048
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    References listed on IDEAS

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    1. Bouchaud,Jean-Philippe & Potters,Marc, 2003. "Theory of Financial Risk and Derivative Pricing," Cambridge Books, Cambridge University Press, number 9780521819169, October.
    2. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871, October.
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    Cited by:

    1. Massing, Till & Ramos, Arturo, 2021. "Student’s t mixture models for stock indices. A comparative study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).

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