Empirical investigation of stock price dynamics in an emerging market

被引:28
作者
Palágyi, Z
Mantegna, RN
机构
[1] Budapest Univ Econ Sci, Dept Math, H-1093 Budapest, Hungary
[2] Univ Palermo, Dipartimento Energet & applicaz Fis, I-90128 Palermo, Italy
[3] Ist Nazl Fis Mat, Unita Palermo, I-90128 Palermo, Italy
来源
PHYSICA A | 1999年 / 269卷 / 01期
关键词
econophysics; stable processes;
D O I
10.1016/S0378-4371(99)00087-4
中图分类号
O4 [物理学];
学科分类号
0702 ;
摘要
We study the development of an emerging market - the Budapest Stock Exchange - by investigating the time evolution of some statistical properties of heavily traded stocks. Moving quarter by quarter over a period of two and a half years we analyze the scaling properties of the standard deviation of intra-day log-price changes. We observe scaling using both seconds and ticks as units of time. For the investigated stocks a Levy shape is a good approximation to the probability density function of tick-by-tick log-price changes in each quarter: the index of the distribution follows an increasing trend, suggesting it could be used as a measure of market efficiency. (C) 1999 Elsevier Science B.V. All rights reserved.
引用
收藏
页码:132 / 139
页数:8
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