Model for Non-Gaussian Intraday Stock Returns

Details Model for Non-Gaussian Intraday Stock Returns Model for Non-Gaussian Intraday Stock Returns

2009-06-21

arxiv.org/abs/0906.3841v2

Physical Review E 80, 065102(R) (2009)

Economy

Quantitative Finance

Statistical Finance

5 pages, 2 figures

Scientific paper

Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database for several stocks traded on the London Stock Exchange. We provide evidence that the return distribution for these stocks is non-Gaussian and similar in shape, and that the distribution appears stable over intraday time scales. We explain these results by assuming the volatility of returns is constant intraday, but varies over longer periods such that its inverse square follows a gamma distribution. This produces returns that are Student distributed for intraday time scales. The predicted results show excellent agreement with the data for all stocks in our study and over all regions of the return distribution.

Affiliated with

Also associated with

No associations

Rating

Model for Non-Gaussian Intraday Stock Returns 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 Model for Non-Gaussian Intraday Stock Returns, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Model for Non-Gaussian Intraday Stock Returns will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-505060