Power laws and Gaussians for stock market fluctuations

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Tuncay C., Stauffer D.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, cilt.374, sa.1, ss.325-330, 2007 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 374 Sayı: 1
  • Basım Tarihi: 2007
  • Doi Numarası: 10.1016/j.physa.2006.07.012
  • Dergi Adı: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.325-330
  • Anahtar Kelimeler: fat tails, normal distribution, Pareto distribution
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

The daily financial volume of transaction on the New York Stock Exchange and its day-to-day fluctuations are analysed with respect to power-law tails as well to their long-term trends. We also model the transition to a Gaussian distribution for longer time intervals, like months instead of days. (c) 2006 Elsevier B.V. All rights reserved.