Return or stock price differences

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dc.creatorMasoliver, Jaume
dc.creatorMontero, Miquel
dc.creatorPerello, Josep
dc.date2001-11-28
dc.date.accessioned2026-07-07T12:06:37Z
dc.date.available2026-07-07T12:06:37Z
dc.descriptionThe analysis which assumes that tick by tick data is linear may lead to wrong conclusions if the underlying process is multiplicative. We compare data analysis done with the return and stock differences and we study the limits within the two approaches are equivalent. Some illustrative examples concerning these two approaches are given. Actual data is taken from S&P 500 stock cash index.
dc.description21 pages, 5 figures (8 plots), submitted for publication
dc.identifierhttps://arxiv.org/abs/cond-mat/0111529
dc.identifierhttp://arxiv.org/abs/cond-mat/0111529
dc.identifierPhysica A 316, 220-241 (2002)
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208706
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleReturn or stock price differences
dc.typetext

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