Inverse cubic law for the distribution of stock price variations

被引：388

作者：

Gopikrishnan, P ^{[1
]}

Meyer, M

Amaral, LAN

Stanley, HE

机构：

[1] Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA

[2] Boston Univ, Dept Phys, Boston, MA 02215 USA

来源：

EUROPEAN PHYSICAL JOURNAL B | 1998年 / 3卷 / 02期

关键词：

PACS. 89.90.+n Other areas of general interest to physicists;

D O I：

10.1007/s100510050292

中图分类号：

O469 [凝聚态物理学];

学科分类号：

070205 ;

摘要：

The probability distribution of stock price changes is studied by analysing 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 alpha approximate to 3, well outside the Levy regime (0 < alpha < 2).

引用

页码：139 / 140

页数：2

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