6533b7d4fe1ef96bd1263134

RESEARCH PRODUCT

High Frequency Data Analysis in an Emerging and a Developed Market

Rosario N. MantegnaGábor KőrösiZoltán Palágyi

subject

Index (economics)Stock exchangeEconometricsConvergence (economics)Financial systemDeveloped marketStability (probability)Measure (mathematics)Value at riskStable distributionMathematics

description

We compare distributional properties of high frequency (tick by tick) returns of stocks traded at the NASDAQ, NYSE, and BSE (Budapest Stock Exchange). In particular, we model returns with a mixture of a degenerate (zero) and a symmetric stable distribution. We measure time with the number of successive price changes on the market and study the convergence of the index of stability on increasing time horizons. We apply results to calculate expected waiting times to reach given levels of value at risk.

yearjournalcountryeditionlanguage
2002-01-01
https://doi.org/10.1007/978-4-431-66993-7_11