We study the price dynamics of stocks traded in the NASDAQ market byconsidering the statistical properties of an ensemble of stocks tradedsimultaneously. For each trading day of our database, we study the ensemblereturn distribution by extracting its first two central moments. According toprevious results obtained for the NYSE market, we find that the second momentis a long-range correlated variable. We compare time-averaged andensemble-averaged price returns and we show that the two averaging procedureslead to different statistical results.
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