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Statistical properties of short term price trends in high frequency stock market data

Paweł Sieczka·Janusz A. Hołyst
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Abstract

We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths was measured. We found that such a distribution does not fit to results following from an uncorrelated stochastic process. We proposed a simple model with a memory that gives a qualitative agreement with real data.

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Paweł Sieczka, Janusz A. Hołyst. 2007-09-24. Statistical properties of short term price trends in high frequency stock market data. https://doi.org/10.1016/j.physa.2007.10.048

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