کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
979601 933371 2007 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stochastic volatility of financial markets as the fluctuating rate of trading: An empirical study
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Stochastic volatility of financial markets as the fluctuating rate of trading: An empirical study
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 382, Issue 1, 1 August 2007, Pages 278–285
نویسندگان
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