Conference publications

Is a tick an elementary jump in a random walks scheme on the stock market?

Romanovsky M.Yu., Vidov P.V.

Компьютерные исследования и моделирование Ижевск: Научно-издательский центр "Регулярная и хаотическая динамика", 2010 (in press). Vol. 2 (2). (accepted)

In this paper average times between elementary jumps of stock returns on the Russian market were experimentally studied. Considering the scaling of the probability density function of stock returns on different time intervals it is shown that an elementary jump in the random walks scheme for financial instrument returns is a unit price change (tick) that corresponds to a single deal on the stock market.

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