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Computer Research and Modeling, 2010, Volume 2, Issue 2, Pages 219–223
DOI: https://doi.org/10.20537/2076-7633-2010-2-2-219-223 (Mi crm597) 		 
This article is cited in 1 scientific paper (total in 1 paper)

MODELS OF ECONOMIC AND SOCIAL SYSTEMS

Is a tick an elementary jump in a random walks scheme on the stock market?

M. Yu. Romanovskya, P. V. Vidova, V. A. Pyrkinb

a A. M. Prokhorov General physics Institute, Vavilov str. 38, Moscow, Russia, 119991
b M. V. Lomonosov Moscow State University, Faculty of Physics, Leninskie Gory, Moscow, Russia, 119991
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DOI: https://doi.org/10.20537/2076-7633-2010-2-2-219-223
Abstract: In this paper average times between elementary jumps of stock returns on the Russian market were experimentally studied. Considering the scaling of the probability density function of stock returns on different time intervals it is shown that an elementary jump in the random walks scheme for financial instrument returns is a unit price change (tick) that corresponds to a single deal on the stock market.
Keywords: random walks, return fluctuations, Levy distribution.
Received: 25.05.2010
Document Type: Article
UDC: 519.214.4, 531.19
Language: Russian
Citation: M. Yu. Romanovsky, P. V. Vidov, V. A. Pyrkin, “Is a tick an elementary jump in a random walks scheme on the stock market?”, Computer Research and Modeling, 2:2 (2010), 219–223
Citation in format AMSBIB
\Bibitem{RomVidPyr10}
\by M.~Yu.~Romanovsky, P.~V.~Vidov, V.~A.~Pyrkin
\paper Is a tick an elementary jump in a random walks scheme on the stock market?
\jour Computer Research and Modeling
\yr 2010
\vol 2
\issue 2
\pages 219--223
\mathnet{http://mi.mathnet.ru/crm597}
\crossref{https://doi.org/10.20537/2076-7633-2010-2-2-219-223}
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    • This publication is cited in the following 1 articles:
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