| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 979456 | Physica A: Statistical Mechanics and its Applications | 2008 | 7 Pages |
Abstract
We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths were measured. We found that such a distribution does not fit to the results following from an uncorrelated stochastic process. We proposed a simple model with a memory that gives a qualitative agreement with the real data.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
PaweÅ Sieczka, Janusz A. HoÅyst,