Ensemble properties of securities traded in the NASDAQ market

Authors: Fabrizio Lillo, Rosario N. Mantegna

arXiv: cond-mat/0107256v1 - DOI (cond-mat.stat-mech)

7 pages, 3 figures, to appear in the proceedings of NATO ARW on Application of Physics in Economic Modelling, Prague, 8-10 February 2001

License: ASSUMED 1991-2003

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.

Submitted to arXiv on 12 Jul. 2001

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