Model for non-Gaussian intraday stock returns

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dc.contributor.authorGerig, Austin
dc.contributor.authorVicente, Javier
dc.contributor.authorFuentes, Miguel A.
dc.date.accessioned2025-01-21T00:07:27Z
dc.date.available2025-01-21T00:07:27Z
dc.date.issued2009
dc.description.abstractStock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database for several stocks traded on the London Stock Exchange. We provide evidence that the return distribution for these stocks is non-Gaussian and similar in shape and that the distribution appears stable over intraday time scales. We explain these results by assuming the volatility of returns is constant intraday but varies over longer periods such that its inverse square follows a gamma distribution. This produces returns that are Student distributed for intraday time scales. The predicted results show excellent agreement with the data for all stocks in our study and over all regions of the return distribution.
dc.description.funderU.S. National Science Foundation
dc.fuente.origenWOS
dc.identifier.doi10.1103/PhysRevE.80.065102
dc.identifier.eissn1550-2376
dc.identifier.issn1539-3755
dc.identifier.urihttps://doi.org/10.1103/PhysRevE.80.065102
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/95630
dc.identifier.wosidWOS:000273228000002
dc.issue.numero6
dc.language.isoen
dc.revistaPhysical review e
dc.rightsacceso restringido
dc.subjecteconometrics
dc.subjectgamma distribution
dc.subjectstock markets
dc.titleModel for non-Gaussian intraday stock returns
dc.typeartículo
dc.volumen80
sipa.indexWOS
sipa.trazabilidadWOS;2025-01-12
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