کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
978378 1480195 2007 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Characterizing bid-ask prices in the Brazilian equity market
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Characterizing bid-ask prices in the Brazilian equity market
چکیده انگلیسی
This paper presents evidence of long-range dependence in bid-ask prices for individual equity prices in the Brazilian stock market. Moreover, using the Hurst exponent calculated by the Local Whittle method as a measure of long-range dependence, we find evidence supporting that bid-ask prices shows a stronger long-range dependence than the one usually found in closing and opening prices. Finally, we show that bid-ask prices may be characterized by a distribution that decays as a power law reinforcing the results of Plerou et al. [Quantifying fluctuations in market liquidity: analysis of the bid-ask spread, Phys. Rev. E 71 (2005) 046131].
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 373, 1 January 2007, Pages 627-633
نویسندگان
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