в ответ на: Вопрос, отправлено Олег, 17:23:11 22/10/2002
For liquid instruments the cumulative distribution for time intervals T more than 5 minutes is always somewhat close to Gaussian. This illustrates the market efficiency. The difference from Gaussian is that our distribution has a peaked form at the beginning and fat tails. If we take T more than 3 month, then the (detrended) distribution is already Gaussian for the majority of liquid stocks at NYSE.