Statistical properties of short term price trends in high frequency stock market data

Details Statistical properties of short term price trends in high frequency stock market data Statistical properties of short term price trends in high frequency stock market data

2007-03-22

arxiv.org/abs/physics/0703208v2

Physica A 387 (2008) 1218-1224

Physics

Physics and Society

10 pages, 9 figures, in ver. 2 one chapter added

Scientific paper

10.1016/j.physa.2007.10.048

We investigated distributions of short term price trends for high frequency
stock market data. A number of trends as a function of their lengths was
measured. We found that such a distribution does not fit to results following
from an uncorrelated stochastic process. We proposed a simple model with a
memory that gives a qualitative agreement with real data.

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