Statistical Properties of Statistical Ensembles of Stock Returns
Fabrizio Lillo, Rosario N. Mantegna
TL;DR
This paper investigates the statistical properties and temporal dynamics of moments derived from ensembles of stock returns, revealing their stochastic nature and correlation structures over time.
Contribution
It introduces a detailed analysis of the fluctuating moments of stock return ensembles, highlighting their stochastic behavior and correlation properties.
Findings
Central moments fluctuate over time as stochastic processes
Probability density functions of moments are characterized
Temporal correlations of moments are analyzed
Abstract
We select n stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the k trading days of our database from the stock price time series. We analyze each ensemble of stock returns by extracting its first four central moments. We observe that these moments are fluctuating in time and are stochastic processes themselves. We characterize the statistical properties of central moments by investigating their probability density function and temporal correlation properties.
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Taxonomy
TopicsComplex Systems and Time Series Analysis · Time Series Analysis and Forecasting · Neural Networks and Applications