Search results for "financial market"

showing 2 items of 2 documents

The non-random walk of stock prices: The long-term correlation between signs and sizes

2007

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this benchmark model is unable to reproduce the diffusion properties of real prices. Specifically, we find that for one hour intervals this model consistently over-predicts the volatility of real price series by about 70%, and that this effect becomes stronger as the length of the intervals increases. By selectively shuffling some components of the data while preserving others we are able to show that this discrepancy is caused by a subtle but long-range non-…

Physics - Physics and Societybusiness and managementFOS: Physical sciencesEconomicPhysics and Society (physics.soc-ph)01 natural sciences010305 fluids & plasmasCorrelationFOS: Economics and businessStochastic processes0103 physical sciencesEconometricsfinancial market010306 general physicsStock (geology)MathematicsStatistical Finance (q-fin.ST)ShufflingMarket efficiencyQuantitative Finance - Statistical FinanceCondensed Matter PhysicsRandom walkElectronic Optical and Magnetic MaterialsVolatility (finance)Brownian motioneconophysicLong term correlation
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High frequency data entry: statistical findings at high frequency

2010

We introduce some of the most common types of high-frequency financial data: tick-by-tick data, trade andquote data, order bookdata, andmarket member data. We describe the types of variables that are usually available in the most popular high-frequency financial databases. We discuss the issues related to the handling of these data, including cleaning protocols, timing issues, and issues related to data size. We then briefly consider the issues related to the stylized facts detected in the empirical analysis of high- frequency data. Specifically, we consider (i) the irregular temporal spacing of the events at high frequency and its relevance for the econometric modeling of financial variables, (…

financial markets high-frequency data data analysis tick-by-tick data order bookdata market microstructure econophysicsSettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)
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