Roughness and Finite Size Effect in the NYSE Stock-Price Fluctuations

We consider the roughness properties of NYSE (New York Stock Exchange) stock-price fluctuations. The statistical properties of the data are relatively homogeneous within the same day but the large jumps between different days prevent the extension of the analysis to large times. This leads to intrin...

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Bibliographic Details
Main Authors Alfi, V, Coccetti, F, Petri, A, Pietronero, L
Format Journal Article
LanguageEnglish
Published 08.02.2006
Subjects
Physics - Physics and Society
Quantitative Finance - Statistical Finance
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