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2013 | 123 | 3 | 621-623
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Subsequent Movements' Proportions of Share Prices Included in the WIG over Recent Years

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A large amount of stock prices intraday data allow us to create a summary of subsequent movements' proportions of the collected share prices in the form of histogram. We have created two kinds of histograms: one for proportions of subsequent increasing and decreasing price movements and the second for proportions of subsequent price movements in the same direction. We have also created the same kinds of histograms for duration of price movements. All the histograms quite well fit the gamma probability distribution. The distribution coefficients' values ν and λ for price are above 1, for time are below 1. Some proportions of price movements occur more frequently than others, creating peaks on the graph. Similar regularity occurs for the time factor. This property is often used in trading.
  • Institute of Physics (PK), Cracow University of Technology, Podchorążych 1, 30-084 Kraków, Poland
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