Stochastic volatility of financial markets as the fluctuating rate of trading: an empirical study

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dc.creatorSilva, A. Christian
dc.creatorYakovenko, Victor M.
dc.date2006-08-30
dc.date2006-12-11
dc.date.accessioned2026-07-07T12:07:51Z
dc.date.available2026-07-07T12:07:51Z
dc.descriptionWe present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random walk (CTRW) framework. The probability distribution of the stock price changes (log-returns) for a given number of trades N is found to be approximately Gaussian. The probability distribution of N for a given time interval Dt is non-Poissonian and has an exponential tail for large N and a sharp cutoff for small N. Combining these two distributions produces a nontrivial distribution of log-returns for a given time interval Dt, which has exponential tails and a Gaussian central part, in agreement with empirical observations.
dc.description5 pages, 7 figures, RevTeX, proceedings of APFA-5. V.2: minor typos corrected, 2 references added
dc.identifierhttps://arxiv.org/abs/physics/0608299
dc.identifierhttp://arxiv.org/abs/physics/0608299
dc.identifierPhysica A 382, 278 - 285 (2007)
dc.identifierdoi:10.1016/j.physa.2007.03.051
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209116
dc.subjectPhysics and Society
dc.subjectData Analysis, Statistics and Probability
dc.subjectStatistical Finance
dc.titleStochastic volatility of financial markets as the fluctuating rate of trading: an empirical study
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