Inverse cubic law for the distribution of stock price variations

P. Gopikrishnan; M. Meyer; L. A N Amaral; H. E. Stanley

doi:10.1007/s100510050292

Inverse cubic law for the distribution of stock price variations

P. Gopikrishnan^*, M. Meyer, L. A N Amaral, H. E. Stanley

^*Corresponding author for this work

Chemical and Biological Engineering

Research output: Contribution to journal › Article › peer-review

424 Scopus citations

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 α ≈ 3, well outside the Lévy regime (0 < α < 2).

Original language	English (US)
Pages (from-to)	139-140
Number of pages	2
Journal	European Physical Journal B
Volume	3
Issue number	2
DOIs	https://doi.org/10.1007/s100510050292
State	Published - 1998

ASJC Scopus subject areas

Electronic, Optical and Magnetic Materials
Condensed Matter Physics

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10.1007/s100510050292

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title = "Inverse cubic law for the distribution of stock price variations",

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 α ≈ 3, well outside the L{\'e}vy regime (0 < α < 2).",

author = "P. Gopikrishnan and M. Meyer and Amaral, {L. A N} and Stanley, {H. E.}",

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AU - Meyer, M.

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Inverse cubic law for the distribution of stock price variations

Abstract

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