Is a tick an elementary jump in a random walks scheme on the stock market?
In this paper average times between elementary jumps of stock returns on the Russian market were experimentally studied. Considering the scaling of the probability density function of stock returns on different time intervals it is shown that an elementary jump in the random walks scheme for financi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | Russian |
| Published: |
Institute of Computer Science
2010-06-01
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| Series: | Компьютерные исследования и моделирование |
| Subjects: | |
| Online Access: | http://crm.ics.org.ru/uploads/crmissues/crm2010-2-2/crm10211.pdf |