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原文連結
論文資訊
- 類型：已發表論文
- 日期：2008
摘要
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the 擴散 rate (volatility) of prices at longer time scales. We show that this benchmark model is unable to reproduce the 擴散 properties of real prices. Specifically, we find that for one hour intervals this model consistently over-predicts the volatility of real price series by about 70%, and that this effect becomes stronger as the length of the intervals increases. By selectively shuffling some components of the data while preserving others we are able to show that this discrepancy is caused by a subtle but long-range non-contemporaneous correlation between the signs and sizes of individual returns. We conjecture that this is related t
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