Scaling power laws in the Sao Paulo Stock Exchange

Sergio Da Silva, Raul Matsushita () and Iram Gleria ()
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Raul Matsushita: Department of Statistics, University of Brasilia
Iram Gleria: Department of Physics, Catholic University of Brasilia

Economics Bulletin, 2002, vol. 7, issue 3, 1-12

Abstract: The scaling of the probability distribution of the Sao Paulo Stock Exchange index is shown to be described by a Levy stable stochastic process for the modal region of the distribution. Data refer to daily records for the 30-year period 1968-1998. The truncated Levy process is characterized by a scaling index of 1.66. Scaling power laws are also shown to be present in the mean and standard deviation of the series as the time horizon is increased. A power law is also found for the autocorrelation time of the natural logs of the index series. The deviations from the line that best fits the natural logs of the series are also found to be short range autocorrelated and to follow an exponential decay.

Keywords: complex; systems (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2002-07-17
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Citations: View citations in EconPapers (15)

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