Regensburg 2007 – scientific programme

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AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme

AKSOE 4: Poster Session (posters are expected to be displayed the full day (9:00-18:00)

AKSOE 4.2: Poster

Monday, March 26, 2007, 16:30–18:00, Poster D

Statistical properties of short term price trends — •Paweł Sieczka and Janusz Hołyst — Faculty of Physics and Center of Excellence for Complex Systems Research Warsaw University of Technology, Koszykowa 75, PL 00-662 Warsaw, Poland

We have investigated properties of short term price trends (starting from 10 sec.) at various stock markets. The results point out that there is a significant difference between real markets and the random walk model. This difference is due to price autocorrelations that influence a probability of trend extending. This probability depends in a specific way on a length of the current trend period. The results for different markets are compared.