INVERSE CUBIC LAW FOR THE DISTRIBUTION OF STOCK-PRICE VARIATIONS

Authors
GOPIKRISHNAN P MEYER M AMARAL LAN STANLEY HE
Citation
P. Gopikrishnan et al., INVERSE CUBIC LAW FOR THE DISTRIBUTION OF STOCK-PRICE VARIATIONS, EUROPEAN PHYSICAL JOURNAL B, 3(2), 1998, pp. 139-140
Citations number
11
Categorie Soggetti
Physics, Condensed Matter
Journal title
EUROPEAN PHYSICAL JOURNAL B → ACNP
ISSN journal
14346028
Volume
3
Issue
2
Year of publication
1998
Pages
139 - 140
Database
ISI
SICI code
1434-6028(1998)3:2<139:ICLFTD>2.0.ZU;2-F
Abstract
The probability distribution of stock price changes is studied by anal ysing a database (the Trades and Quotes Database) documenting every tr ade for all stocks in three major US stock markets, for the two year p eriod 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 alpha approximate to 3, well outside the Levy regime (0 < alpha < 2).