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Ensemble Properties of securities traded in the Nasdaq market Physica A

By Fabrizio Lillo, Rosario N. Mantegna, Istituto Nazionale, Fisica Materia and Unità Di Palermo

Abstract

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 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

Topics: Key words, Econophysics, Financial markets, long-range correlated variables PACS, 05.40.-a, 89.90.+n
Year: 2001
OAI identifier: oai:CiteSeerX.psu:10.1.1.305.5674
Provided by: CiteSeerX
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