Model for non-Gaussian intraday stock returns

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 80, Issue 6, 2009, Pages

  Gerig, Austin ^a,b   Vicente, Javier ^b   Fuentes, Miguel A ^b,c,d  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^b SANTA FE INSTITUTE   (United States)

^c PONTIFICIA UNIVERSIDAD CATÓLICA DE CHILE   (Chile)

^d INSTITUTO BALSEIRO   (Argentina)

Author keywords

[No Author keywords available]

Indexed keywords

GAMMA DISTRIBUTION; LARGE DATABASE; LONDON STOCK EXCHANGE; NON-GAUSSIAN; STOCK PRICE; STOCK PRICE FLUCTUATION; STOCK RETURNS; TIME-SCALES;

GAUSSIAN NOISE (ELECTRONIC);

EID: 73649126564     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.80.065102     Document Type: Article

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41. The LSE also contains an off-book market, where large transactions take place between nonanonymous counterparties.
42. To obtain a better statistic of the daily β, we include in our estimate the scaled measurement of volatility for all time scales within one day.