Defining an intrinsic stickiness parameter of stock price returns

Naji Massad and J{\o}rgen Vitting Andersen

Papers from arXiv.org

Abstract: We introduce a non linear pricing model of individual stock returns that defines a stickiness parameter of the returns. The pricing model resembles the capital asset pricing model used in finance but has a non linear component inspired from models of earth quake tectonic plate movements. The link to tectonic plate movements happens, since price movements of a given stock index is seen adding stress to its components of individual stock returns, in order to follow the index. How closely individual stocks follow the indexs price movements, can then be used to define their stickiness

Date: 2020-05
New Economics Papers: this item is included in nep-fmk, nep-gen and nep-rmg
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Published in Physica A (2020)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2005.02351

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