Ensemble properties of securities traded in the NASDAQ market

We study the price dynamics of stocks traded in the NASDAQ market by consid ering the statistical properties of an ensemble of stocks traded simultaneo usly. For each trading day of our database, we study the ensemble return di stribution by extracting its first two central moments. According to the pr evious results obtained for the NYSE market, we find that the second moment is a long-range correlated variable. We compare time-averaged and ensemble -averaged price returns and we show that the two averaging procedures lead to different statistical results. (C) 2001 Elsevier Science B.V. All rights reserved.