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Defining an intrinsic stickiness parameter of stock price returns

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  • Naji Massad
  • J{o}rgen Vitting Andersen

Abstract

We introduce a non linear pricing model of individual stock returns that defines a stickiness parameter of the returns. The pricing model resembles the capital asset pricing model used in finance but has a non linear component inspired from models of earth quake tectonic plate movements. The link to tectonic plate movements happens, since price movements of a given stock index is seen adding stress to its components of individual stock returns, in order to follow the index. How closely individual stocks follow the indexs price movements, can then be used to define their stickiness

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  • Naji Massad & J{o}rgen Vitting Andersen, 2020. "Defining an intrinsic stickiness parameter of stock price returns," Papers 2005.02351, arXiv.org.
    • Handle: RePEc:arx:papers:2005.02351
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    References listed on IDEAS

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    1. Lucia Bellenzier & Jørgen Vitting Andersen & Giulia Rotundo, 2016. "Contagion in the World's Stock Exchanges Seen as a Set of Coupled Oscillators," Post-Print hal-01215620, HAL.
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