Characteristics of Financial Fluctuations

Stanisław Drożdż, Jarosław Kwapień and Rafał Rak

Ekonomia journal, 2011, vol. 25

Abstract: The study will examine the probability distributions of returns for the WIG20 index and the portfolio for the period from 17.11.2000 to 30.06.2005. These are the highest frequency (1 min) and the so-called tick by tick data (quotes at the time of the transaction). Except the data from the Polish stock market, the data from so-called mature markets (such as trading for the 1000 largest companies from the NYSE and NASDAQ index) will be analyzed. The analytical form of distributions (called q-Gaussian) will also be proposed. Nowadays it is one of the best representations describing the actual distributions.

Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ekonomia.wne.uw.edu.pl/ekonomia/getFile/718 (application/pdf)
no

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eko:ekoeko:25_172

Access Statistics for this article

More articles in Ekonomia journal from Faculty of Economic Sciences, University of Warsaw Contact information at EDIRC.
Bibliographic data for series maintained by (ekonomia@wne.uw.edu.pl).