Return or stock price differences

Jaume Masoliver, Miquel Montero () and Josep Perelló ()

Papers from arXiv.org

Abstract: The analysis which assumes that tick by tick data is linear may lead to wrong conclusions if the underlying process is multiplicative. We compare data analysis done with the return and stock differences and we study the limits within the two approaches are equivalent. Some illustrative examples concerning these two approaches are given. Actual data is taken from S&P 500 stock cash index.

Date: 2001-11
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Published in Physica A 316, 220-241 (2002)

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