Statistical properties of short term price trends in high frequency stock market data

Paweł Sieczka and Janusz A. Hołyst

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 5, 1218-1224

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.

Keywords: Econophysics; Financial markets; Price trends (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:5:p:1218-1224

DOI: 10.1016/j.physa.2007.10.048

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