Small scale behavior of financial data |
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Authors: | A P Nawroth J Peinke |
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Institution: | 1. Institut für Physik, Carl-von-Ossietzky Universit?t Oldenburg, 26111, Oldenburg, Germany
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Abstract: | A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a
function of the timescale. To this purpose a measure is introduced, which quantifies the distance of a considered distribution
to a reference distribution. The existence of a small timescale regime is demonstrated, which exhibits different properties
compared to the normal timescale regime for timescales larger than one minute. This regime seems to be universal for individual
stocks. It is shown that the existence of this small timescale regime is not dependent on the special choice of the distance
measure or the reference distribution. These findings have important implications for risk analysis, in particular for the
probability of extreme events. |
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Keywords: | 89 65 Gh Economics econophysics financial markets business and management |
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