Power laws and Gaussians for stock market fluctuations

Tuncay, ÇAĞLAR; Stauffer, Dietrich

doi:10.1016/j.physa.2006.07.012

Power laws and Gaussians for stock market fluctuations

Tuncay C., Stauffer D.

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

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
Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
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.