Dynamics of stock prices (Articolo in rivista)

Type
Label
  • Dynamics of stock prices (Articolo in rivista) (literal)
Anno
  • 2004-01-01T00:00:00+01:00 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#doi
  • 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)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
  • Bartiromo R. (literal)
Pagina inizio
  • 067108-1 (literal)
Pagina fine
  • 067108-4 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
  • 69 (literal)
Rivista
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroFascicolo
  • 6 (literal)
Note
  • ISI Web of Science (WOS) (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
  • 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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