TIME DURATION DECAY IN ROMANIAN CAPITAL MARKETS

Mukul Pal and Ioan Alin Nistor
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Mukul Pal: “Babes-Bolyai” University, Cluj-Napoca
Ioan Alin Nistor: “Babes-Bolyai” University, Cluj-Napoca

Theoretical and Applied Economics, 2011, vol. 5(558)(supplement), issue 5(558)(supplement), 641-646

Abstract: Classic studies of the probability density of price fluctuations g for stocks and foreign exchanges of several highly developed economies have been interpreted using a power-law probability density function P(g) g−(α+1) with exponent values α > 2, which are outside the L´evy-stable regime 0

Keywords: stock market; exponentiality; decay; time. (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:5(558)(supplement):y:2011:i:5(558)(supplement):p:641-646

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