Inverse cubic law for the distribution of stock price variations

  • P. Gopikrishnan
  • M. Meyer
  • L.A.N. Amaral
  • H.E. Stanley
Rapid Note

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 \(a \approx 3\), well outside the Lévy regime \((0 < \alpha < 2)\).

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

Copyright information

© EDP Sciences, Springer-Verlag 1998

Authors and Affiliations

  • P. Gopikrishnan
    • 1
  • M. Meyer
    • 1
  • L.A.N. Amaral
    • 1
  • H.E. Stanley
    • 1
  1. 1.Center for Polymer Studies and Department of PhysicsBoston University BostonUSA

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