>Что касается шортов. Деньги являются только обеспечением кредита. А >реально производится заем бумаг. Отсюда и различие шорта с
>лонгом, осуществляемым без привлечения заемных средств.
Data analisys shows that the difference between long and short positions is not so fundamental (at least for the USA market). 1000 US companies with the largest capitalization were analized over the two year period (1994-1995). The cumalative distribution was calculated:
P(x,T) — the probability for the absolute value of logarithmic price increment for the period T to be larger than x.
It was shown that for large x (the tails of the distribution) P(x,T) behaves as 1/x^alpha, where alpha=3.1 for positive tails (long positions) and alpha=2.84 for negative tails (short positions). So there is almost no difference and the distribution is practically symmetric.
Has anybody done such calculations for Russian stocks?
