Ensemble properties of securities traded in the NASDAQ market

6533b85efe1ef96bd12c0766

RESEARCH PRODUCT

Ensemble properties of securities traded in the NASDAQ market

Fabrizio Lillo Rosario N. Mantegna

subject

FOS: Economics and business Statistics and Probability Return distribution Variable (computer science)Statistical Finance (q-fin.ST)Statistical Mechanics (cond-mat.stat-mech)Econometrics Quantitative Finance - Statistical Finance FOS: Physical sciences Second moment of area Condensed Matter Physics Condensed Matter - Statistical Mechanics Mathematics

description

We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by extracting its first two central moments. According to previous results obtained for the NYSE market, we find that the second moment is a long-range correlated variable. We compare time-averaged and ensemble-averaged price returns and we show that the two averaging procedures lead to different statistical results.

year	journal	country	edition	language
2001-07-12	Physica A: Statistical Mechanics and its Applications

https://doi.org/10.1016/s0378-4371(01)00291-6

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