dorsal/arxiv
View SchemaStatistical properties of short term price trends in high frequency stock market data
| Authors | Paweł Sieczka, Janusz A. Hołyst |
|---|---|
| Categories | |
| ArXiv ID | physics/0703208 |
| URL | https://arxiv.org/abs/physics/0703208 |
| DOI | 10.1016/j.physa.2007.10.048 |
| Journal | Physica A 387 (2008) 1218-1224 |
Abstract
We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths was measured. We found that such a distribution does not fit to results following from an uncorrelated stochastic process. We proposed a simple model with a memory that gives a qualitative agreement with real data.
{
"annotation_id": "cb494ea9-5b03-4ef3-a564-ce53d90dfca8",
"date_created": "2026-03-02T18:01:18.014000Z",
"date_modified": "2026-03-02T18:01:18.014000Z",
"file_hash": "053a8f5199d369f885dd2431121c5059166c3a5edd5815614d726bbc6d59342a",
"private": false,
"record": {
"abstract": "We investigated distributions of short term price trends for high frequency\nstock market data. A number of trends as a function of their lengths was\nmeasured. We found that such a distribution does not fit to results following\nfrom an uncorrelated stochastic process. We proposed a simple model with a\nmemory that gives a qualitative agreement with real data.",
"arxiv_id": "physics/0703208",
"authors": [
"Pawe\u0142 Sieczka",
"Janusz A. Ho\u0142yst"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2007.10.048",
"journal_ref": "Physica A 387 (2008) 1218-1224",
"title": "Statistical properties of short term price trends in high frequency stock market data",
"url": "https://arxiv.org/abs/physics/0703208"
},
"schema_id": "dorsal/arxiv",
"source": {
"execution_id": "86b0365e-d24a-4f74-83bf-188392a878d5",
"id": "arXiv Dataset IDs",
"type": "Model",
"variant": "snapshot-2026-03-01",
"version": "0.1.0"
},
"user_id": 1000002
}