dorsal/arxiv
View SchemaThe Process of price formation and the skewness of asset returns
| Authors | Stefan Reimann |
|---|---|
| Categories | |
| ArXiv ID | physics/0603012 |
| URL | https://arxiv.org/abs/physics/0603012 |
Abstract
Distributions of assets returns exhibit a slight skewness. In this note we show that our model of endogenous price formation \cite{Reimann2006} creates an asymmetric return distribution if the price dynamics are a process in which consecutive trading periods are dependent from each other in the sense that opening prices equal closing prices of the former trading period. The corresponding parameter $\alpha$ is estimated from daily prices from 01/01/1999 - 12/31/2004 for 9 large indices. For the S&P 500, the skewness distribution of all its constituting assets is also calculated. The skewness distribution due to our model is compared with the distribution of the empirical skewness values of the ingle assets.
{
"annotation_id": "6af79af6-8e7a-4f7b-95ba-b3509091a69c",
"date_created": "2026-03-02T18:01:07.275000Z",
"date_modified": "2026-03-02T18:01:07.275000Z",
"file_hash": "fa436d9543765f2b681888b4f7c1ccaf3f24b27c92adf9ac8e002c6b2e14278b",
"private": false,
"record": {
"abstract": "Distributions of assets returns exhibit a slight skewness. In this note we\nshow that our model of endogenous price formation \\cite{Reimann2006} creates an\nasymmetric return distribution if the price dynamics are a process in which\nconsecutive trading periods are dependent from each other in the sense that\nopening prices equal closing prices of the former trading period. The\ncorresponding parameter $\\alpha$ is estimated from daily prices from 01/01/1999\n- 12/31/2004 for 9 large indices. For the S\u0026P 500, the skewness distribution of\nall its constituting assets is also calculated. The skewness distribution due\nto our model is compared with the distribution of the empirical skewness values\nof the ingle assets.",
"arxiv_id": "physics/0603012",
"authors": [
"Stefan Reimann"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"title": "The Process of price formation and the skewness of asset returns",
"url": "https://arxiv.org/abs/physics/0603012"
},
"schema_id": "dorsal/arxiv",
"source": {
"execution_id": "e526b7de-efbe-4077-adc4-cb8a3f289639",
"id": "arXiv Dataset IDs",
"type": "Model",
"variant": "snapshot-2026-03-01",
"version": "0.1.0"
},
"user_id": 1000002
}