Stock price process and long memory in trade signs

被引：6
作者：
Kuroda, Koji [1 ]
Maskawa, Jun-ichi [2 ]
Murai, Joshin [3 ]
机构：
[1] Nihon Univ, Grad Sch Integrated Basic Sci, Setagaya Ku, Tokyo 1568550, Japan
[2] Seijo Univ, Dept Econ, Tokyo, Tokyo, Japan
[3] Okayama Univ, Grad Sch Humanities & Social Sci, Okayama 7008530, Japan
来源：
ADVANCES IN MATHEMATICAL ECONOMICS, VOL 14 | 2011年 / 14卷
关键词：
trade signs; long memory; Hurst index; fractional Brownian motion; Polymer expansion; 2-DIMENSIONAL ISING-MODEL; PHASE-SEPARATION LINE; FINANCIAL-MARKETS; LIMIT-THEOREMS; FLUCTUATIONS;
D O I：
10.1007/978-4-431-53883-7_4
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Empirical study on tick by tick data in stock markets shows us that there exists a long memory in trade signs and signed trade volumes. This means that an order flow is a highly autocorrelated long memory process. We present a mathematical model of trade signs and trade volumes in which traders decompose their orders into small pieces. We prove that fractional Brownian motions are obtained as a scaling limit of the signed volume process induced by the model.
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页码：69 / +
页数：3
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