Inverse cubic law for the distribution of stock price variations View Full Text


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Article Info

DATE

1998-05

AUTHORS

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

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 , well outside the Lévy regime . More... »

PAGES

139-140

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s100510050292

DOI

http://dx.doi.org/10.1007/s100510050292

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1004743102


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