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The European Physical Journal B
ISSN: 1434-6028 (printed version)
ISSN: 1434-6036 (electronic version)
Abstract Volume 3 Issue 2 (1998) pp 139-140
rapid note: Inverse cubic law for the distribution of stock price variations
P. Gopikrishnan (a), M. Meyer, L.A.N. Amaral, H.E. Stanley
Center for Polymer Studies and Department of Physics, Boston University Boston, MA 02215, USA
Received: 23 April 1998 / Revised and Accepted: 24 April 1998
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 $\alpha\approx 3$, well outside the Lévy regime $(0<\alpha<2)$.
PACS. 89.90.+n Other areas of general interest to physicists
(a) email: gopi@bu.edu
Article in PDF-Format (226 KB)
Online publication: July 9, 1998
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