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High Frequency Data Analysis in an Emerging and a Developed Market

  • Zoltán Palágyi
  • Gábor Kőrösi
  • Rosario N. Mantegna
Conference paper
  • 194 Downloads

Abstract

We compare distributional properties of high frequency (tick by tick) returns of stocks traded at the NASDAQ, NYSE, and BSE (Budapest Stock Exchange). In particular, we model returns with a mixture of a degenerate (zero) and a symmetric stable distribution. We measure time with the number of successive price changes on the market and study the convergence of the index of stability on increasing time horizons. We apply results to calculate expected waiting times to reach given levels of value at risk.

Key words

High-frequency data Stable distributions Value at risk 

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Copyright information

© Springer Japan 2002

Authors and Affiliations

  • Zoltán Palágyi
    • 1
  • Gábor Kőrösi
    • 2
  • Rosario N. Mantegna
    • 3
  1. 1.Department of MathematicsBudapest University of Economic Sciences and Public AdministrationBudapestHungary
  2. 2.Institute of EconomicsHungarian Academy of SciencesHungary
  3. 3.Dipartimento di Fisica e Tecnologie RelativeUniversità di PalermoPalermoItalia

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