کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
979601 | 933371 | 2007 | 8 صفحه PDF | دانلود رایگان |

We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random walk (CTRW) framework. The probability distribution of the stock price changes (log-returns) for a given number of trades N is found to be approximately Gaussian. The probability distribution of N for a given time interval ΔtΔt is non-Poissonian and has an exponential tail for large N and a sharp cutoff for small N . Combining these two distributions produces a non-trivial distribution of log-returns for a given time interval ΔtΔt, which has exponential tails and a Gaussian central part, in agreement with empirical observations.
Journal: Physica A: Statistical Mechanics and its Applications - Volume 382, Issue 1, 1 August 2007, Pages 278–285