Non-traditional analysis of stock returns

M. A. Kaboudan

Journal of Applied Statistics, 1997, vol. 24, issue 6, 671-688

Abstract: An investigation of the prices of eight individual stocks showed that pricechange returns are significantly less complex than are time-dependent returns. Timedependent returns computed every 15, 30 and 45 minutes were found to be more complex, using a complexity measure. Complexity is quantified by measuring the number of times that the estimated correlation dimension of an observed series is multiplied by when its original sequence is randomly shuffled.

Date: 1997
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DOI: 10.1080/02664769723413

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