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

Research output: Contribution to journalArticlepeer-review

422 Scopus citations


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 languageEnglish (US)
Pages (from-to)139-140
Number of pages2
JournalEuropean Physical Journal B
Issue number2
StatePublished - 1998

ASJC Scopus subject areas

  • Electronic, Optical and Magnetic Materials
  • Condensed Matter Physics


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