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Title:
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A STUDY OF PRICE FLUCTUATION IN THE SUB-SECOND TRADING MARKET |
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Author(s):
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Mieko Tanaka-Yamawaki and Masanori Yamanaka |
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ISBN:
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978-989-8533-95-1 |
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Editors:
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Hans Weghorn |
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Year:
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2019 |
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Edition:
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Single |
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Keywords:
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Stock Time Series, Arrowhead Market, Statistical Distribution, Scaling Phenomena, Big Data Analysis |
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Type:
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Full Paper |
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First Page:
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139 |
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Last Page:
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145 |
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Language:
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English |
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Cover:
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Full Contents:
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click to dowload 
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Paper Abstract:
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In order to clarify the statistical nature of price fluctuation, we analyze the ultra-high-speed time series data of stock prices
recorded in the newly developed stock trading system called arrowhead trading system in the Tokyo Stock Exchange
Market. This system started from the beginning of 2010 and operated by 1 millisecond, which was then upgraded to 0.5
millisecond in the mid-September of 2015. The result obtained so far tells us that the price fluctuation of a single stock
time series obeys the Gauss distribution when the time interval between adjacent transactions are less than 1 second, while
the price fluctuation of a stock index obeys the scale-free, Lévy stable distribution of parameter ? = 1.73±0.04 for the time
interval from 15 seconds to 1 hour. |
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