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Filename: drivers/Session_files_driver.php
Line Number: 177
Backtrace:
File: /var/www/html/index.php
Line: 316
Function: require_once
Severity: Warning
Message: session_start(): Failed to read session data: user (path: /var/lib/php/sessions)
Filename: Session/Session.php
Line Number: 137
Backtrace:
File: /var/www/html/index.php
Line: 316
Function: require_once
Severity: Warning
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Filename: helpers/my_audit_helper.php
Line Number: 197
Backtrace:
File: /var/www/html/application/helpers/my_audit_helper.php
Line: 197
Function: file_get_contents
File: /var/www/html/application/helpers/my_audit_helper.php
Line: 271
Function: simplexml_load_file_from_url
File: /var/www/html/application/helpers/my_audit_helper.php
Line: 1057
Function: getPubMedXML
File: /var/www/html/application/helpers/my_audit_helper.php
Line: 3175
Function: GetPubMedArticleOutput_2016
File: /var/www/html/application/controllers/Detail.php
Line: 575
Function: pubMedSearch_Global
File: /var/www/html/application/controllers/Detail.php
Line: 489
Function: pubMedGetRelatedKeyword
File: /var/www/html/index.php
Line: 316
Function: require_once
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database for several stocks traded on the London Stock Exchange. We provide evidence that the return distribution for these stocks is non-Gaussian and similar in shape and that the distribution appears stable over intraday time scales. We explain these results by assuming the volatility of returns is constant intraday but varies over longer periods such that its inverse square follows a gamma distribution. This produces returns that are Student distributed for intraday time scales. The predicted results show excellent agreement with the data for all stocks in our study and over all regions of the return distribution.
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Source |
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http://dx.doi.org/10.1103/PhysRevE.80.065102 | DOI Listing |
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