Stylized facts in internal rates of return on stock index and its derivative transactions
نویسندگان
چکیده
منابع مشابه
Stylized Facts in Internal Rates of Return on Stock Index and its Derivative Transactions
Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the probability distributions for such single asset encounters encorporate the time factor by means of the internal rate of return defined as the continuous compound ...
متن کاملStylized Facts in Internal Return Rates of Trend Speculators on Stock Indices
Stylized facts in market indicator data have been reported, up to date, especially on the session-tosession basis, such as the fat tail law in the distribution of log(Pi/Pi-1) returns on various time scales. Since even this log-normalized return indicator quantifies the profit/loss resulting from one-session asset engagement, it is worthwhile studying the stylized facts associated with more com...
متن کاملSize matters: some stylized facts of the stock market revisited
We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company capitalization. We show that the second moment of the traded value distribution is finite. Consequently, the Hurst exponents for the corresponding time series can be calc...
متن کاملFinancial System Performance and Inflation in Iran: Some Stylized Facts
The mutual relationship between financial development, as a multilateral concept, and inflation, as a key indicator of macro-economy is crucial. In this paper, inflation regimes are identified using Markov-Switching approach, and then the finance-inflation mutual relationship is investigated in post-revolution cabinets in Iran (1982-2017). Our findings suggest that there are mutual co-movements...
متن کاملSome Stylized Facts
There are substantial differences between the economies of a Developed Country (DC) and a developing country, more aptly referred to as a Growing Less Developed Country (GDLC). An interesting question in the realm of macroeconomics iswhy the difference occurs between these two types of economies. Which are the features that set a typical DC apart from a typical GLDC? Here, our contention is tha...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2007
ISSN: 0378-4371
DOI: 10.1016/j.physa.2007.03.042