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On the Distribution of Stock Price Differences

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Cited by:

  1. Shiva Zamani & Alireza Moslemi Haghighi & Hamid Arian, 2023. "Temporal Volatility Surface Projection: Parametric Surface Projection Method for Derivatives Portfolio Risk Management," Papers 2311.14985, arXiv.org.
  2. Sergio Bianchi & Augusto Pianese & Massimiliano Frezza, 2020. "A distribution‐based method to gauge market liquidity through scale invariance between investment horizons," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 36(5), pages 809-824, September.
  3. Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239.
  4. Noemi Nava & T. Di Matteo & Tomaso Aste, 2015. "Anomalous volatility scaling in high frequency financial data," Papers 1503.08465, arXiv.org, revised Dec 2015.
  5. Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016. "Rock around the clock: An agent-based model of low- and high-frequency trading," Journal of Evolutionary Economics, Springer, vol. 26(1), pages 49-76, March.
  6. repec:hal:spmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k is not listed on IDEAS
  7. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
  8. Senarathne, Chamil W & Jayasinghe, Prabhath, 2017. "Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk," MPRA Paper 78771, University Library of Munich, Germany, revised 04 Apr 2017.
  9. Meenakshi Venkateswaran & B. Wade Brorsen & Joyce A. Hall, 1993. "The distribution of standardized futures price changes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(3), pages 279-298, May.
  10. James B. Glattfelder & Richard B. Olsen, 2024. "The Theory of Intrinsic Time: A Primer," Papers 2406.07354, arXiv.org.
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  12. Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-.
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  14. Aloui, Chaker & Shahzad, Syed Jawad Hussain & Jammazi, Rania, 2018. "Dynamic efficiency of European credit sectors: A rolling-window multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 337-349.
  15. Elisa Luciano & Wim Schoutens, 2006. "A multivariate jump-driven financial asset model," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 385-402.
  16. Naeem, Muhammad Abubakr & Karim, Sitara & Farid, Saqib & Tiwari, Aviral Kumar, 2022. "Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-19," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 548-562.
  17. Olivier Le Courtois, 2018. "Some Further Results on the Tempered Multistable Approach," Post-Print hal-02312142, HAL.
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  19. Rupel Nargunam & Ananya Lahiri, 2022. "Persistence in daily returns of stocks with highest market capitalization in the Indian market," Digital Finance, Springer, vol. 4(4), pages 341-374, December.
  20. Jean-Luc Prigent, 2001. "Option Pricing with a General Marked Point Process," Mathematics of Operations Research, INFORMS, vol. 26(1), pages 50-66, February.
  21. Nava, Noemi & Di Matteo, T. & Aste, Tomaso, 2016. "Anomalous volatility scaling in high frequency financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 434-445.
  22. Olivier Courtois, 2018. "Some Further Results on the Tempered Multistable Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(2), pages 87-109, June.
  23. Rene Carmona & Kevin Webster, 2017. "The microstructure of high frequency markets," Papers 1709.02015, arXiv.org.
  24. McCulloch, James, 2012. "Fractal market time," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 686-701.
  25. Beirlant, J. & Schoutens, W. & Segers, J.J.J., 2004. "Mandelbrot's Extremism," Other publications TiSEM 34027632-2f60-44af-a2ed-e, Tilburg University, School of Economics and Management.
  26. Ales Kresta & Tomas Tichy, 2012. "International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 141-161, May.
  27. Tian, Yisong Sam, 1998. "A Trinomial Option Pricing Model Dependent on Skewness and Kurtosis," International Review of Economics & Finance, Elsevier, vol. 7(3), pages 315-330.
  28. Jaramillo-López, Oscar Andrés & Forero-Laverde, Germán & Venegas-Martínez, Francisco, 2020. "Evolución del supuesto de normalidad en finanzas: un análisis epistemológico del tipo Popper-Kuhn ¿Por qué la normalidad no cae en desuso? [Evolution of the assumption of normality in finance: a ep," MPRA Paper 101938, University Library of Munich, Germany.
  29. Petre Caraiani, 2012. "Evidence of Multifractality from Emerging European Stock Markets," PLOS ONE, Public Library of Science, vol. 7(7), pages 1-9, July.
  30. Scalas, Enrico & Kaizoji, Taisei & Kirchler, Michael & Huber, Jürgen & Tedeschi, Alessandra, 2006. "Waiting times between orders and trades in double-auction markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 463-471.
  31. Jing Li & Lingfei Li & Rafael Mendoza-Arriaga, 2016. "Additive subordination and its applications in finance," Finance and Stochastics, Springer, vol. 20(3), pages 589-634, July.
  32. Nikita Ratanov, 2008. "Option Pricing Model Based on a Markov-modulated Diffusion with Jumps," Papers 0812.0761, arXiv.org.
  33. Naeem, Muhammad Abubakr & Farid, Saqib & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2021. "Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis," Energy Policy, Elsevier, vol. 153(C).
  34. repec:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k is not listed on IDEAS
  35. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
  36. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX," Energy Economics, Elsevier, vol. 59(C), pages 167-178.
  37. João Costa Freitas & Alberto Adrego Pinto & Óscar Felgueiras, 2024. "Game Theory for Predicting Stocks’ Closing Prices," Mathematics, MDPI, vol. 12(17), pages 1-49, August.
  38. Yifan He & Abootaleb Shirvani & Barret Shao & Svetlozar Rachev & Frank Fabozzi, 2024. "Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon," Papers 2404.11722, arXiv.org, revised Oct 2024.
  39. Thilini Mahanama & Abootaleb Shirvani & Svetlozar T. Rachev, 2021. "Global Index on Financial Losses Due to Crime in the United States," JRFM, MDPI, vol. 14(7), pages 1-16, July.
  40. J. Christopher Westland, 2017. "An empirical investigation of analytical procedures using mixture distributions," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 24(4), pages 111-124, October.
  41. Iacopo Giampaoli & Wing Lon Ng & Nick Constantinou, 2013. "Periodicities Of Foreign Exchange Markets And The Directional Change Power Law," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 20(3), pages 189-206, July.
  42. Villena, Marcelo J. & Araneda, Axel A., 2024. "On sectoral market efficiency," Finance Research Letters, Elsevier, vol. 61(C).
  43. Michael Grabchak, 2014. "Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?," Annals of Finance, Springer, vol. 10(4), pages 553-568, November.
  44. Kashyap, Ravi, 2019. "The perfect marriage and much more: Combining dimension reduction, distance measures and covariance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  45. Tim Chapman, 2003. "Father of fractal complexity," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 88-90.
  46. Dheeraj Misra & Sushma Vishnani & Ankit Mehrotra, 2019. "Four-moment CAPM Model: Evidence from the Indian Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 137-166, April.
  47. Leal, Sandrine Jacob & Napoletano, Mauro, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
  48. Jonas Hanetho, 2023. "Commodities Trading through Deep Policy Gradient Methods," Papers 2309.00630, arXiv.org.
  49. James Caton & Richard E. Wagner, 2015. "Volatility in Catallactical Systems: Austrian Cycle Theory Revisited," Advances in Austrian Economics, in: New Thinking in Austrian Political Economy, volume 19, pages 95-117, Emerald Group Publishing Limited.
  50. Chamil W SENARATHNE & Wei JIANGUO, 2020. "Testing for Heteroskedastic Mixture of Ordinary Least Squares Errors," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 73-91, July.
  51. Long, Hongwei & Ma, Chunhua & Shimizu, Yasutaka, 2017. "Least squares estimators for stochastic differential equations driven by small Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1475-1495.
  52. Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016. "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 105-128.
  53. Koundouri, Phoebe & Kourogenis, Nikolaos & Pittis, Nikitas & Samartzis, Panagiotis, 2015. "Factor Models as "Explanatory UniÖers" versus "Explanatory Ideals" of Empirical Regularities of Stock Returns," MPRA Paper 122254, University Library of Munich, Germany.
  54. Wim Schoutens, 2005. "Moment swaps," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 525-530.
  55. Rama Cont, 1997. "Scaling and correlation in financial data," Papers cond-mat/9705075, arXiv.org, revised May 1997.
  56. Sergio Ortobelli Lozza & Tommaso Lando & Filomena Petronio & Tomáš Tichý, 2016. "Asymptotic Multivariate Dominance: A Financial Application," Methodology and Computing in Applied Probability, Springer, vol. 18(4), pages 1097-1115, December.
  57. Vogl, Markus, 2023. "Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framewo," Chaos, Solitons & Fractals, Elsevier, vol. 166(C).
  58. Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
  59. Saswat Patra & Malay Bhattacharyya, 2021. "Does volume really matter? A risk management perspective using cross‐country evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 118-135, January.
  60. Laszlo Gillemot & J. Doyne Farmer & Fabrizio Lillo, 2006. "There's more to volatility than volume," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 371-384.
  61. Md Rafiul Islam & Angela Peace & Daniel Medina & Tamer Oraby, 2020. "Integer Versus Fractional Order SEIR Deterministic and Stochastic Models of Measles," IJERPH, MDPI, vol. 17(6), pages 1-19, March.
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  63. Ben Moews, 2023. "On random number generators and practical market efficiency," Papers 2305.17419, arXiv.org, revised Jul 2023.
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  69. Xuan Vinh Vo & Thi Tuan Anh Tran, 2021. "Higher-order comoments and asset returns: evidence from emerging equity markets," Annals of Operations Research, Springer, vol. 297(1), pages 323-340, February.
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