Return or stock price differences

Jaume Masoliver; Miquel Montero; Josep Perello

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arXiv · cond-mat/0111529

Return or stock price differences

Jaume Masoliver·Miquel Montero·Josep Perello

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Abstract

The analysis which assumes that tick by tick data is linear may lead to wrong conclusions if the underlying process is multiplicative. We compare data analysis done with the return and stock differences and we study the limits within the two approaches are equivalent. Some illustrative examples concerning these two approaches are given. Actual data is taken from S&P 500 stock cash index.

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Jaume Masoliver, Miquel Montero, Josep Perello. 2001-11-28. Return or stock price differences. https://arxiv.org/abs/cond-mat/0111529

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