Physics – Physics and Society
Scientific paper
2006-03-13
Physics
Physics and Society
Scientific paper
This paper continues a series of studies devoted to analysis of the bivariate probability distribution P(x,y) of two consecutive price increments x (push) and y (response) at intraday timescales for a group of stocks. Besides the asymmetry properties of P(x,y) such as Market Mill dependence patterns described in preceding paper [1], there are quite a few other interesting geometrical properties of this distribution discussed in the present paper, e.g. transformation of the shape of equiprobability lines upon growing distance from the origin of xy plane and approximate invariance of P(x,y) with respect to rotations at the multiples of $\pi/2$ around the origin of xy plane. The conditional probability distribution of response P(y|x) is found to be markedly non-gaussian at small magnitude of pushes and tending to more gauss-like behavior upon growing push magnitude. The volatility of P(y|,x) measured by the absolute value of the response shows linear dependence on the absolute value of the push, and the skewness of P(y|x) is shown to inherit a sign of the push. The conditional dynamics approach applied in this study is compared to regression models of AR-ARCH class.
Leonidov Andrei
Trainin Vladimir
Zaitsev Alexander
Zaitsev Sergey
No associations
LandOfFree
Market Mill Dependence Pattern in the Stock Market: Distribution Geometry, Moments and Gaussization does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Market Mill Dependence Pattern in the Stock Market: Distribution Geometry, Moments and Gaussization, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Market Mill Dependence Pattern in the Stock Market: Distribution Geometry, Moments and Gaussization will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-69799