Statistical properties of short term price trends in high frequency stock market data
classification
⚛️ physics.soc-ph
q-fin.ST
keywords
datatrendsfrequencyhighmarketpriceshortstock
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We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths was measured. We found that such a distribution does not fit to results following from an uncorrelated stochastic process. We proposed a simple model with a memory that gives a qualitative agreement with real data.
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