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Model for Non-Gaussian Intraday Stock Returns


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  • Austin Gerig
  • Javier Vicente
  • Miguel A. Fuentes


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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Bibliographic Info

Paper provided by in its series Papers with number 0906.3841.

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Date of creation: Jun 2009
Date of revision: Dec 2009
Publication status: Published in Physical Review E 80, 065102(R) (2009)
Handle: RePEc:arx:papers:0906.3841

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Cited by:
  1. Cassidy, Daniel T., 2011. "Describing n-day returns with Student’s t-distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(15), pages 2794-2802.
  2. Mauro Politi & Nicolas Millot & Anirban Chakraborti, 2011. "The near-extreme density of intraday log-returns," Post-Print hal-00827942, HAL.
  3. Politi, Mauro & Millot, Nicolas & Chakraborti, Anirban, 2012. "The near-extreme density of intraday log-returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 147-155.
  4. Mauro Politi & Nicolas Millot & Anirban Chakraborti, 2011. "The near-extreme density of intraday log-returns," Papers 1106.0039,


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