Stock market return distributions: From past to present
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This paper showed that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index α > 3 and this index tends to increase quickly with decreasing sampling frequency.Abstract:
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index α > 3 and this index tends to increase quickly with decreasing sampling frequency. Our study is based on high-frequency recordings of the S&P500, DAX and WIG20 indices over the interval May 2004–May 2006. Our findings suggest that dynamics of the contemporary market may differ from the one observed in the past. This effect indicates a constantly increasing efficiency of world markets.read more
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References
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Scaling behaviour in the dynamics of an economic index
TL;DR: In this paper, it was shown that the scaling of the probability distribution of a particular economic index can be described by a non-gaussian process with dynamics that, for the central part of the distribution, correspond to that predicted for a Levy stable process.
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The role of constraints within generalized nonextensive statistics
TL;DR: In this paper, the Gibbs-Jaynes path for introducing statistical mechanics is based on the adoption of a specific entropic form S and of physically appropriate constraints, and the consequences of some special choices for (iii) and their formal and practical implications for the various physical systems that have been studied in the literature are analyzed.
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A theory of power-law distributions in financial market fluctuations
Xavier Gabaix,Parameswaran Gopikrishnan,Parameswaran Gopikrishnan,Vasiliki Plerou,H. Eugene Stanley +4 more
TL;DR: This model is based on the hypothesis that large movements in stock market activity arise from the trades of large participants, and explains certain striking empirical regularities that describe the relationship between large fluctuations in prices, trading volume and the number of trades.
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Scaling of the distribution of fluctuations of financial market indices.
Parameswaran Gopikrishnan,Vasiliki Plerou,Vasiliki Plerou,Luís A. Nunes Amaral,Martin Meyer,H. Eugene Stanley +5 more
TL;DR: Estimates of alpha consistent with those describing the distribution of S&P 500 daily returns are found, and for time scales longer than (deltat)x approximately 4 d, the results are consistent with a slow convergence to Gaussian behavior.
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Scaling of the distribution of price fluctuations of individual companies.
Vasiliki Plerou,Vasiliki Plerou,Parameswaran Gopikrishnan,Luís A. Nunes Amaral,Martin Meyer,H. Eugene Stanley +5 more
TL;DR: A phenomenological study of stock price fluctuations of individual companies, which finds that the tails of the distributions can be well described by a power-law decay, well outside the stable Lévy regime.