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  1. 2 Acta Physica Polonica A

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  1. 1 2015

  2. 1 2013

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  1. 2 Szmagliński A.

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Asymmetry in the Subsequent Movements' Proportions of Share Prices Included in the WIG

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Szmagliński A.
Acta Physica Polonica A
|
2015
|
vol. 127
|
issue 3A
A-136-A-138
EN
The intraday data of stock prices allow us to collect in the form of histogram the subsequent movements' proportions in price and time. Here we continue the previous work [Acta Phys. Pol. A 123, 621 (2013)], concerning the properties of subsequent price movements' proportions in the opposite directions and proportions of subsequent price movements in the same direction. Here we distinguish between the proportions with growing and decreasing second price movement in the proportion. We investigate quantitatively the effect of breaking the turning point of resistance and support levels depending on the percentage size of price movements. In the same way we treat the main peak in the histogram for the equal subsequent price movements.
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Subsequent Movements' Proportions of Share Prices Included in the WIG over Recent Years

100%
Szmagliński A.
Acta Physica Polonica A
|
2013
|
vol. 123
|
issue 3
621-623
EN
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.
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