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Statistical Properties Of Statistical Ensembles Of Stock Returns

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  • FABRIZIO LILLO

    (Istituto Nazionale per la Fisica della Materia, Unità di Palermo and Dipartimento di Energetica ed Applicazioni di Fisica, Università di Palermo, Viale delle Scienze, I-90128, Palermo, Italy)

  • ROSARIO N. MANTEGNA

    (Istituto Nazionale per la Fisica della Materia, Unità di Palermo and Dipartimento di Energetica ed Applicazioni di Fisica, Università di Palermo, Viale delle Scienze, I-90128, Palermo, Italy)

Abstract

We selectnstocks traded in the New York Stock Exchange and form a statistical ensemble of daily stock returns for each of thektrading days of our database from the stock price time series. We analyze each ensemble of stock returns by extracting its first four central moments. We observe that these moments are fluctuating in time and are stochastic processes themselves. We characterize the statistical properties of central moments by investigating their probability density function and temporal correlation properties.

Suggested Citation

  • Fabrizio Lillo & Rosario N. Mantegna, 2000. "Statistical Properties Of Statistical Ensembles Of Stock Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 405-408.
    • Handle: RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000279
    DOI: 10.1142/S0219024900000279
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    Cited by:

    1. Kokoszka, Piotr & Miao, Hong & Petersen, Alexander & Shang, Han Lin, 2019. "Forecasting of density functions with an application to cross-sectional and intraday returns," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1304-1317.

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