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What Do Sub-second Price Data Tell Us about the Arrowhead Stock Market ?

Authors:
Mieko Tanaka-Yamawaki
Masanori Yamanaka

Keywords: stock time series; arrowhead market, statistical distribution, scaling phenomena

Abstract:
We study ultrafast stock time series of the newly developed arrowhead trading system in Tokyo Market, in order to investigate the statistical nature of the stock time series under sub-second time scales. We also compare the current result to the past study on longer time scale up to a few minutes. It is shown that the empirical distributions obtained in this study follow the scaling law of the Lévy stable distribution of index α ranging from 1.4 to 2.0.

Pages: 1 to 4

Copyright: Copyright (c) IARIA, 2018

Publication date: March 25, 2018

Published in: conference

ISSN: 2308-4375

ISBN: 978-1-61208-620-0

Location: Rome, Italy

Dates: from March 25, 2018 to March 29, 2018