Distribution of detrended stock market data
For stock market data, the empirical distribution of the return for stock price and the empirical distribution of the return for stock market index are well known. However, for the detrended data (defined as data divided by trend), which is a different fluctuating quantity compared to the return, only the distribution of detrended daily stock volume is known so far. In this paper, we show that for both stock price and stock market index, the detrended daily data is well fitted by a stable...[Show more]
|Collections||ANU Research Publications|
|Source:||Fluctuation and Noise Letters|
|01_Lan_Distribution_of_detrended_2010.pdf||1.14 MB||Adobe PDF||Request a copy|
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