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Volumn 3, Issue 2, 1998, Pages 139-140

Inverse cubic law for the distribution of stock price variations

Author keywords

[No Author keywords available]

Indexed keywords

ASYMPTOTIC STABILITY; CALCULATIONS; COMMERCE; DATABASE SYSTEMS;

EID: 0031635063     PISSN: 14346028     EISSN: None     Source Type: Journal    
DOI: 10.1007/s100510050292     Document Type: Article
Times cited : (483)

References (13)
  • 5
    • 0030139575 scopus 로고    scopus 로고
    • and references therein
    • A. Pagan, J. Empirical Finance 3, 15 (1996), and references therein.
    • (1996) J. Empirical Finance , vol.3 , pp. 15
    • Pagan, A.1
  • 7
    • 85033937866 scopus 로고    scopus 로고
    • in press (cond-mat/9705075)
    • J.P. Bouchaud, M. Potters, Théorie des Risques Financiers (Alea-Saclay, Eyrolles 1998); R. Cont, Eur. Phys. J. B (1998), in press (cond-mat/9705075).
    • (1998) Eur. Phys. J. B
    • Cont, R.1
  • 8
    • 85033919376 scopus 로고    scopus 로고
    • 24 CD-ROM for :94-'95, published by the New York Stock Exchange
    • The Trades and Quotes Database, 24 CD-ROM for :94-'95, published by the New York Stock Exchange.
    • The Trades and Quotes Database
  • 9
    • 85033930043 scopus 로고    scopus 로고
    • note
    • In order to obtain uncorrelated estimators for the volatility and the price increment at time t, the time average extends only over time steps t′ ≠ t.


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.