Return or stock price differences

Physica A: Statistical Mechanics and its Applications

Volumn 316, Issue 1-4, 2002, Pages 539-560

  Montero, Miquel ^a   Perelló, Josep ^a   Masoliver, Jaume ^a  

^a UNIVERSITY OF BARCELONA   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

DATA REDUCTION; ECONOMICS; LINEAR EQUATIONS; PROBABILITY DISTRIBUTIONS;

STOCK PRICES;

FINANCE;

EID: 0037114580     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01198-6     Document Type: Article

References (10)

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3. Kendall M.G. The analysis of economic time-series Part-I: prices. Cootner P.H. The Random Character of Stock Market Prices. 1964;85-99 The MIT Press, Cambridge, MA.
4. Osborne M.F.M. Brownian motion in the stock market. Cootner P.H. The Random Character of Stock Market Prices. 1964;100-128 The MIT Press, Cambridge, MA.
5. Lamoreux C.G., Zhou G. Temporary components of stock returns: what do the data tell us? Rev. Financial Stud. 9:1996;1033-1059.
6. Dacorogna M., Gençay R., Müller U., Olsen R.B., Pictet O.V. Introduction to High-Frequency Finance. 2001;Academic Press, New York.
7. Mantegna R.N., Stanley S.H. Scaling behaviour in the dynamics of an economic index. Nature. 376:1995;46-49.
8. Gardiner C.W. Handbook of Stochastic Methods. 1985;Springer, Heidelberg, Berlin, New York.
9. Cramer H. Mathematical Methods of Statistics. 1951;Princeton University Press, Princeton, NJ.
10. Bouchaud J.P., Potters M. Theory of Financial Risks. 2000;Cambridge University Press, Cambridge.