Universal fluctuations of the AEX index

Rui Gonçalves, Helena Ferreira, Nico Stollenwerk and Alberto Adrego Pinto

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 21, 4776-4784

Abstract: We compute the analytic expression of the probability distributions FAEX,+ and FAEX,− of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the α re-scaled AEX daily index positive returns r(t)α and negative returns (−r(t))α, which we call, after normalization, the α positive fluctuations and α negative fluctuations. We use the Kolmogorov–Smirnov statistical test as a method to find the values of α that optimize the data collapse of the histogram of the α fluctuations with the Bramwell–Holdsworth–Pinton (BHP) probability density function. The optimal parameters that we found are α+=0.46 and α−=0.43. Since the BHP probability density function appears in several other dissimilar phenomena, our result reveals a universal feature of stock exchange markets.

Keywords: Econophysics; Interdisciplinary; Statistics; Financial market; BHP; Universal fluctuations (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:21:p:4776-4784

DOI: 10.1016/j.physa.2010.06.012

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