Title: Investing in high frequency
Authors: Málek, Jiří
Tran, Van Quang
Citation: Trendy v podnikání = Business trends : vědecký časopis Fakulty ekonomické ZČU v Plzni. 2016, č. 3, s. 21-27.
Issue Date: 2016
Publisher: Západočeská univerzita v Plzni
Document type: článek
URI: http://hdl.handle.net/11025/22527
ISSN: 1805-0603
Keywords: vysokofrekvenční údaje;šikmost;špičatost;α stabilní distribuce
Keywords in different language: high frequency data;skewness;kurtosis;α-stable distribution
Abstract in different language: The article analyzes the 10 min high frequency data of certain financial instruments (gold, exchange rate USD / Euro, stock quotes Boeing and Microsoft). As approximation of the empirical distribution of log-returns is used alpha stable distribution. This distribution allows to measure "power" tails and then compare them with the Gaussian distribution. The parameters of stable distributions are estimated using methods MLE (Maximum Likelihood Estimation), which proved to be the most accurate. At the same time four basic moments (mean, standard deviation, skewness and kurtosis) are also estimated .Using of the analysis of all these parameters are given investment characteristics considered instruments.
Rights: © Západočeská univerzita v Plzni
Appears in Collections:Číslo 3 (2016)
Číslo 3 (2016)

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