Summary: Scaling of the distribution of price fluctuations of individual companies
Vasiliki Plerou,1,2
Parameswaran Gopikrishnan,1
Lui´s A. Nunes Amaral,1
Martin Meyer,1
and H. Eugene Stanley1
1
Center for Polymer Studies and Department of Physics, Boston University, Boston, Massachusetts 02215
2
Department of Physics, Boston College, Chestnut Hill, Massachusetts 02167
Received 14 July 1999
We present a phenomenological study of stock price fluctuations of individual companies. We systematically
analyze two different databases covering securities from the three major U.S. stock markets: a the New York
Stock Exchange, b the American Stock Exchange, and c the National Association of Securities Dealers
Automated Quotation stock market. Specifically, we consider i the trades and quotes database, for which we
analyze 40 million records for 1000 U.S. companies for the 2-yr period 1994­95; and ii the Center for
Research and Security Prices database, for which we analyze 35 million daily records for approximately 16 000
companies in the 35-yr period 1962­96. We study the probability distribution of returns over varying time
scales t, where t varies by a factor of 105
, from 5 min up to 4 yr. For time scales from 5 min up to

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