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Statistical Properties of Statistical Ensembles of Stock Returns

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  • Fabrizio Lillo
  • Rosario N. Mantegna

Abstract

We select n stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the k trading 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, 1999. "Statistical Properties of Statistical Ensembles of Stock Returns," Papers cond-mat/9909302, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/9909302
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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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