STATISTICAL PROPERTIES OF STATISTICAL ENSEMBLES OF STOCK RETURNS

Fabrizio Lillo and Rosario Mantegna
Additional contact information
Fabrizio Lillo: Istituto Nazionale per la Fisica della Materia, Unità di Palermo and Dipartimento di Energetica ed Applicazioni di Fisica, Università di Palermo, Viale delle Scienze, I-90128, Palermo, Italy

International Journal of Theoretical and Applied Finance (IJTAF), 2000, vol. 03, issue 03, 405-408

Abstract: We selectnstocks traded in the New York Stock Exchange and form a statistical ensemble of daily stock returns for each of thektrading days of our database from the stock price time series. We analyze each ensemble of stock returns by extracting its first four central moments. We observe that these moments are fluctuating in time and are stochastic processes themselves. We characterize the statistical properties of central moments by investigating their probability density function and temporal correlation properties.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024900000279
Access to full text is restricted to subscribers

Related works:
Working Paper: Statistical Properties of Statistical Ensembles of Stock Returns (1999)
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:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000279

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024900000279

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().