6533b823fe1ef96bd127ed3c
RESEARCH PRODUCT
Statistical Properties of Statistical Ensembles of Stock Returns
Rosario N. MantegnaFabrizio Lillosubject
Statistical ensemblePhysics::Physics and SocietyStatistical Finance (q-fin.ST)Statistical Mechanics (cond-mat.stat-mech)Stochastic processFinancial economicsQuantitative Finance - Statistical FinanceFOS: Physical sciencesProbability density functionTemporal correlationStock priceFOS: Economics and businessStock exchangeComputer Science::Computational Engineering Finance and ScienceEconomicsEconometricsGeneral Economics Econometrics and FinanceFinanceStock (geology)Condensed Matter - Statistical Mechanicsdescription
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.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1999-09-21 |