Spurious trend switching phenomena in financial markets

Details Spurious trend switching phenomena in financial markets Spurious trend switching phenomena in financial markets

2011-12-16

arxiv.org/abs/1112.3868v1

Economy

Quantitative Finance

Statistical Finance

Scientific paper

The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise featureless processes such as random walks. The bias stems from the selection of price peaks that imposes a condition on the statistics of price change and of trade volumes that skew their distributions. For the intertrade times, the extrema and power laws results from the format of transaction data.

Affiliated with

Also associated with

No associations

Rating

Spurious trend switching phenomena in financial markets 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 Spurious trend switching phenomena in financial markets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Spurious trend switching phenomena in financial markets will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-137224