| 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 article |
| 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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