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Inverse cubic law for the distribution of stock price variations
Authors:P Gopikrishnan  M Meyer  LAN Amaral  HE Stanley
Institution:(1) Center for Polymer Studies and Department of Physics, Boston University Boston, MA 02215, USA, US
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 , well outside the Lévy regime . Received: 23 April 1998 / Revised and Accepted: 24 April 1998
Keywords:PACS  89  90  +n Other areas of general interest to physicists
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