http://www.cnr.it/ontology/cnr/individuo/prodotto/ID52182
Dynamics of stock prices (Articolo in rivista)
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- Label
- Dynamics of stock prices (Articolo in rivista) (literal)
- Anno
- 2004-01-01T00:00:00+01:00 (literal)
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- 10.1103/PhysRevE.69.067108 (literal)
- Alternative label
Bartiromo R. (2004)
Dynamics of stock prices
in Physical review. E, Statistical, nonlinear, and soft matter physics (Print)
(literal)
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- ISI Web of Science (WOS) (literal)
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- CNR, Ist Struttura Mat, I-00133 Rome, Italy
Univ Roma Tre, Unita INFM, I-00146 Rome, Italy (literal)
- Titolo
- Dynamics of stock prices (literal)
- Abstract
- We show that the dynamics of stock prices can be accurately described as a continuous time random walk with a time dependent diffusion coefficient. The time evolution of the diffusion coefficient can be derived from tick by tick databases provided the stock price is characterized in terms of a couple of values describing the best ask and the best bid. We are then led to a finding and, namely, that the transition rate of the random walk process is different from the frequency of transactions. Our results allow us to obtain a fast and reliable determination of the diffusion coefficient and precisely confirm that fat tails in the distribution of price variations are due to volatility fluctuations (literal)
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