Power laws and Gaussians for stock market fluctuations

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Tuncay C., Stauffer D.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, vol.374, no.1, pp.325-330, 2007 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 374 Issue: 1
  • Publication Date: 2007
  • Doi Number: 10.1016/j.physa.2006.07.012
  • Journal Name: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.325-330
  • Keywords: fat tails, normal distribution, Pareto distribution
  • Middle East Technical University Affiliated: Yes

Abstract

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.