Universal fluctuations of the AEX index

We compute the analytic expression of the probability distributions F_AEX,+ and F_AEX,− of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the α re-scaled AEX daily index positive returns r(t)^α and negative returns (−r(t))^α, which we call, after normalization, the α positive fluctuations and α negative fluctuations. We use the Kolmogorov-Smirnov statistical test as a method to find the values of α that optimize the data collapse of the histogram of the α fluctuations with the Bramwell-Holdsworth-Pinton (BHP) probability density function. The optimal parameters that we found are α⁺=0.46 and α⁻=0.43. Since the BHP probability density function appears in several other dissimilar phenomena, our result reveals a universal feature of stock exchange markets.