Return or stock price differences
An analysis based on the assumption that tick-by-tick data is linear may lead to incorrect conclusions if the underlying process is multiplicative. We compare data analysis done with return and stock differences and study the limits within which the two approaches are equivalent. Illustrative examples based on these two approaches are given. Comparable data are taken from the S&P 500 stock cash index.
Year of publication: |
2002
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Authors: | Montero, Miquel ; Perelló, Josep ; Masoliver, Jaume |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 316.2002, 1, p. 539-560
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Publisher: |
Elsevier |
Saved in:
Online Resource
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