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Subsequent movements' proportions of share prices included in the WIG over recent years

Adam Szmagliński 

Cracow University of Technology, Institute of Physics (PK), Podchorążych 1, Kraków 30-084, Poland

Abstract

A large amount of intraday data of stock prices allow us to create a summary of subsequent movements' proportions of the collected share prices in the form of histogram. I have created two kinds of histograms. One for proportions of subsequent increasing and decreasing price movements. Second for proportions of subsequent price movements in the same direction. I have also created the same kinds of histograms for duration of price movements. All the histograms quite well fit the gamma probability distribution. The distribution coefficients' values for price are above 1, for time are below 1. Some proportions of price movements occur more frequently than others, creating a peak on the graph. Similar regularity occurs for the time factor. This property is often used in trading. The values of some peaks in comparison with the background are placed in a table.

 

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Presentation: Oral at 6 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Adam Szmagliński
See On-line Journal of 6 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2012-01-23 00:54
Revised:   2012-01-24 17:01