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Eur. Phys. J. B 3, 139140 (1998) THE EUROPEAN
 

Summary: Eur. Phys. J. B 3, 139­140 (1998)
THE EUROPEAN
PHYSICAL JOURNAL B
c
EDP Sciences
Springer-Verlag 1998
Rapid Note
Inverse cubic law for the distribution of stock price variations
P. Gopikrishnana
, M. Meyer, L.A.N. Amaral, and H.E. Stanley
Center for Polymer Studies and Department of Physics, Boston University Boston, MA 02215, USA
Received: 23 April 1998 / Revised and Accepted: 24 April 1998
Abstract. The probability distribution of stock price changes is studied by analyzing a database (the
Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for
the two year period January 1994 ­ December 1995. A sample of 40 million data points is extracted, which
is substantially larger than studied hitherto. We find an asymptotic power-law behavior for the cumulative
distribution with an exponent 3, well outside the L´evy regime (0 < < 2).
PACS. 89.90.+n Other areas of general interest to physicists
The asymptotic behavior of the increment distribution
of economic indices has long been a topic of avid interest

  

Source: Amaral, Luis A.N. - Department of Chemical and Biological Engineering, Northwestern University
Stanley, H. Eugene - Department of Physics, Boston University

 

Collections: Biology and Medicine; Computer Technologies and Information Sciences; Materials Science; Physics