Return or stock price differences

Miquel Montero (), Josep Perelló and Jaume Masoliver

Physica A: Statistical Mechanics and its Applications, 2002, vol. 316, issue 1, 539-560

Abstract: An analysis based on the assumption that tick-by-tick data is linear may lead to incorrect conclusions if the underlying process is multiplicative. We compare data analysis done with return and stock differences and study the limits within which the two approaches are equivalent. Illustrative examples based on these two approaches are given. Comparable data are taken from the S&P 500 stock cash index.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:316:y:2002:i:1:p:539-560

DOI: 10.1016/S0378-4371(02)01198-6

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