Stock returns and their probabilistic distribution (the Bucharest Stock Exchange case)
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- M. F. M. Osborne, 1959. "Brownian Motion in the Stock Market," Operations Research, INFORMS, vol. 7(2), pages 145-173, April.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Tangmongkollert, K. & Suwanna, S., 2016. "Asset price and trade volume relation in artificial market impacted by value investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 126-133.
- Kristoffer Glover & Hardy Hulley & Goran Peskir, 2011. "Three-Dimensional Brownian Motion and the Golden Ratio Rule," Research Paper Series 295, Quantitative Finance Research Centre, University of Technology, Sydney.
- Álvaro Cartea & Thilo Meyer-Brandis, 2010.
"How Duration Between Trades of Underlying Securities Affects Option Prices,"
Review of Finance, European Finance Association, vol. 14(4), pages 749-785.
- Cartea, Álvaro & Meyer-Brandis, Thilo, 2009. "How Duration Between Trades of Underlying Securities Affects Option Prices," MPRA Paper 16179, University Library of Munich, Germany.
- Seemann, Lars & Hua, Jia-Chen & McCauley, Joseph L. & Gunaratne, Gemunu H., 2012. "Ensemble vs. time averages in financial time series analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(23), pages 6024-6032.
- Kevin Fergusson & Eckhard Platen, 2006.
"On the Distributional Characterization of Daily Log-Returns of a World Stock Index,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 19-38.
- Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney.
- Vasile Brătian & Ana-Maria Acu & Camelia Oprean-Stan & Emil Dinga & Gabriela-Mariana Ionescu, 2021. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
- Jianqing Fan, 2004. "A selective overview of nonparametric methods in financial econometrics," Papers math/0411034, arXiv.org.
- M. Hashem Pesaran, 2005.
"Market Efficiency Today,"
IEPR Working Papers
05.41, Institute of Economic Policy Research (IEPR).
- Pesaran, Mohammad Hashem, 2005. "Market efficiency today," CFS Working Paper Series 2006/01, Center for Financial Studies (CFS).
- Rashid, Abdul, 2007. "Stock prices and trading volume: An assessment for linear and nonlinear Granger causality," Journal of Asian Economics, Elsevier, vol. 18(4), pages 595-612, August.
- Adam Karp & Gary Van Vuuren, 2019. "Investment Implications Of The Fractal Market Hypothesis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 1-27, March.
- Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
- Trabelsi, Mohamed Ali, 2010. "Choix de portefeuille: comparaison des différentes stratégies [Portfolio selection: comparison of different strategies]," MPRA Paper 82946, University Library of Munich, Germany, revised 01 Dec 2010.
- Didenko Alexander & Dubovikov Mikhail & Poutko Boris, 2015.
"Forecasting coherent volatility breakouts,"
Вестник Финансового университета, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 1 (85), pages 30-36.
- Didenko, Alexander & Dubovikov, Michael & Poutko, Boris, 2015. "Forecasting Coherent Volatility Breakouts," MPRA Paper 63708, University Library of Munich, Germany.
- Donatien Hainaut & Franck Moraux, 2019.
"A switching self-exciting jump diffusion process for stock prices,"
Annals of Finance, Springer, vol. 15(2), pages 267-306, June.
- Hainaut, Donatien & Moraux, Franck, 2018. "A switching self-exciting jump diffusion process for stock prices," LIDAM Discussion Papers ISBA 2018013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Donatien Hainaut & Franck Moraux, 2019. "A switching self-exciting jump diffusion process for stock prices," Post-Print halshs-01909772, HAL.
- Hainaut, Donatien & Moraux, Franck, 2019. "A switching self-exciting jump diffusion process for stock prices," LIDAM Reprints ISBA 2019017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Kristýna Ivanková, 2010. "Isobars and the Efficient Market Hypothesis," Working Papers IES 2010/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2010.
- Tan, Baris & Yilmaz, Kamil, 2002.
"Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation,"
European Journal of Operational Research, Elsevier, vol. 137(3), pages 524-543, March.
- Tan, B. & Yilmaz, K., 1999. "Markov Chain Test for Time Dependence and Homogeneity: An Analytical and Empirical Evaluation," Papers 99/03, Koc University.
- Mr. Jun Nagayasu, 2003. "The Efficiency of the Japanese Equity Market," IMF Working Papers 2003/142, International Monetary Fund.
- Kullmann, L & Töyli, J & Kertesz, J & Kanto, A & Kaski, K, 1999. "Characteristic times in stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 98-110.
- Foued Saâdaoui, 2013. "The Price and Trading Volume Dynamics Relationship in the EEX Power Market: A Wavelet Modeling," Computational Economics, Springer;Society for Computational Economics, vol. 42(1), pages 47-69, June.
- Taisei Kaizoji, 2013. "Modelling of Stock Returns and Trading Volume," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 147-155, July.
More about this item
Keywords
stock returns; probabilistic distributions; stable paretian hypothesis;All these keywords.
JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- F30 - International Economics - - International Finance - - - General
- G20 - Financial Economics - - Financial Institutions and Services - - - General
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ora:journl:v:3:y:2008:i:1:p:860-865. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catalin ZMOLE (email available below). General contact details of provider: https://edirc.repec.org/data/feoraro.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.