Is a tick an elementary jump in a random walks scheme on the stock market?

Romanovsky M.Y., Vidov P.V., Pyrkin V.A.
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In this paper average times between elementary jumps of stock returns on the Russian market were experimentally studied. Considering the scaling of the probability density function of stock returns on different time intervals it is shown that an elementary jump in the random walks scheme for financial instrument returns is a unit price change (tick) that corresponds to a single deal on the stock market.

Keywords: random walks, return fluctuations, Levy distribution
Citation in English: Romanovsky M.Y., Vidov P.V., Pyrkin V.A. Is a tick an elementary jump in a random walks scheme on the stock market? // Computer Research and Modeling, 2010, vol. 2, no. 2, pp. 219-223
Citation in English: Romanovsky M.Y., Vidov P.V., Pyrkin V.A. Is a tick an elementary jump in a random walks scheme on the stock market? // Computer Research and Modeling, 2010, vol. 2, no. 2, pp. 219-223
DOI: 10.20537/2076-7633-2010-2-2-219-223
URL: http://crm-en.ics.org.ru/journal/article/1704/
Creative Commons License This work is licensed under a Creative Commons Attribution-NoDerivs 3.0 Unported License.
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