Inverse cubic law for the distribution of stock price variations |
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| Authors: | P. Gopikrishnan M. Meyer L.A.N. Amaral H.E. Stanley |
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| Affiliation: | (1) Center for Polymer Studies and Department of Physics, Boston University Boston, MA 02215, USA, US |
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| 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 |
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| Keywords: | PACS. 89.90.+n Other areas of general interest to physicists |
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