Ensemble properties of securities traded in the NASDAQ market

被引：13
|
作者：
Lillo, F
Mantegna, RN
机构：
[1] Univ Palermo, Dipartimento Fis & Tecnol Relat, I-90128 Palermo, Italy
[2] INFM, Unita Palermo, Palermo, Italy
来源：
PHYSICA A | 2001年 / 299卷 / 1-2期
关键词：
econophysics; financial markets; long-range correlated variables;
D O I：
10.1016/S0378-4371(01)00291-6
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by extracting its first two central moments. According to the previous results obtained for the NYSE market, we find that the second moment is a long-range correlated variable. We compare time-averaged and ensemble-averaged price returns and we show that the two averaging procedures lead to different statistical results. (C) 2001 Elsevier Science B.V. All rights reserved.
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页码：161 / 167
页数：7
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