Return or stock price differences

Details Return or stock price differences Return or stock price differences

2001-11-28

arxiv.org/abs/cond-mat/0111529v1

Physica A 316, 220-241 (2002)

Physics

Condensed Matter

Statistical Mechanics

21 pages, 5 figures (8 plots), submitted for publication

Scientific paper

The analysis which assumes that tick by tick data is linear may lead to wrong conclusions if the underlying process is multiplicative. We compare data analysis done with the return and stock differences and we study the limits within the two approaches are equivalent. Some illustrative examples concerning these two approaches are given. Actual data is taken from S&P 500 stock cash index.

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