Ensemble properties of securities traded in the NASDAQ market

Fabrizio Lillo and Rosario Mantegna

Physica A: Statistical Mechanics and its Applications, 2001, vol. 299, issue 1, 161-167

Abstract: We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by extracting its first two central moments. According to the previous results obtained for the NYSE market, we find that the second moment is a long-range correlated variable. We compare time-averaged and ensemble-averaged price returns and we show that the two averaging procedures lead to different statistical results.

Keywords: Econophysics; Financial markets; Long-range correlated variables (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:299:y:2001:i:1:p:161-167

DOI: 10.1016/S0378-4371(01)00291-6

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