Ensemble properties of securities traded in the NASDAQ market

Details Ensemble properties of securities traded in the NASDAQ market Ensemble properties of securities traded in the NASDAQ market

2001-07-12

arxiv.org/abs/cond-mat/0107256v1

Physics

Condensed Matter

Statistical Mechanics

7 pages, 3 figures, to appear in the proceedings of NATO ARW on Application of Physics in Economic Modelling, Prague, 8-10 Feb

Scientific paper

10.1016/S0378-4371(01)00291-6

We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by extracting its first two central moments. According to previous results obtained for the NYSE market, we find that the second moment is a long-range correlated variable. We compare time-averaged and ensemble-averaged price returns and we show that the two averaging procedures lead to different statistical results.

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