Statistical properties of short term price trends in high frequency stock market data

摘要

We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths were measured. We found that such a distribution does not fit to the results following from an uncorrelated stochastic process. We proposed a simple model with a memory that gives a qualitative agreement with the real data. (c) 2007 Elsevier B.V. All rights reserved.