This article is cited in 1 paper

MODELS OF ECONOMIC AND SOCIAL SYSTEMS

Is a tick an elementary jump in a random walks scheme on the stock market?

M. Yu. Romanovsky^a, P. V. Vidov^a, V. A. Pyrkin<sup>b

a</sup> A. M. Prokhorov General physics Institute, Vavilov str. 38, Moscow, Russia, 119991
^b M. V. Lomonosov Moscow State University, Faculty of Physics, Leninskie Gory, Moscow, Russia, 119991

Abstract: In this paper average times between elementary jumps of stock returns on the Russian market were experimentally studied. Considering the scaling of the probability density function of stock returns on different time intervals it is shown that an elementary jump in the random walks scheme for financial instrument returns is a unit price change (tick) that corresponds to a single deal on the stock market.

Keywords: random walks, return fluctuations, Levy distribution.

UDC: 519.214.4, 531.19

Received: 25.05.2010

DOI: 10.20537/2076-7633-2010-2-2-219-223