Empirical investigation of stock price dynamics in an emerging market

Zoltán Palágyi and Rosario Mantegna

Physica A: Statistical Mechanics and its Applications, 1999, vol. 269, issue 1, 132-139

Abstract: We study the development of an emerging market – the Budapest Stock Exchange – by investigating the time evolution of some statistical properties of heavily traded stocks. Moving quarter by quarter over a period of two and a half years we analyze the scaling properties of the standard deviation of intra-day log-price changes. We observe scaling using both seconds and ticks as units of time. For the investigated stocks a Levy shape is a good approximation to the probability density function of tick-by-tick log-price changes in each quarter: the index of the distribution follows an increasing trend, suggesting it could be used as a measure of market efficiency.

Keywords: Econophysics; Stable processes (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:269:y:1999:i:1:p:132-139

DOI: 10.1016/S0378-4371(99)00087-4

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