6533b821fe1ef96bd127b5f3
RESEARCH PRODUCT
Empirical investigation of stock price dynamics in an emerging market
Zoltán PalágyiRosario N. Mantegnasubject
Statistics and ProbabilityIndex (economics)EconophysicsStock exchangeEconometricsEconomicsCapitalization-weighted indexProbability density functionCondensed Matter PhysicsQuarter (United States coin)Emerging marketsStandard deviationdescription
Abstract We study the development of an emerging market – the Budapest Stock Exchange – by investigating the time evolution of some statistical properties of heavily traded stocks. Moving quarter by quarter over a period of two and a half years we analyze the scaling properties of the standard deviation of intra-day log-price changes. We observe scaling using both seconds and ticks as units of time. For the investigated stocks a Levy shape is a good approximation to the probability density function of tick-by-tick log-price changes in each quarter: the index of the distribution follows an increasing trend, suggesting it could be used as a measure of market efficiency.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1999-07-01 | Physica A: Statistical Mechanics and its Applications |