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

Pawe{\l} Sieczka and Janusz A. Ho{\l}yst

Papers from arXiv.org

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 was measured. We found that such a distribution does not fit to results following from an uncorrelated stochastic process. We proposed a simple model with a memory that gives a qualitative agreement with real data.

Date: 2007-03, Revised 2007-09
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Published in Physica A 387 (2008) 1218-1224

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0703208

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