Truncated Levy distribution of SP500 stock index fluctuations. Distribution of one-share fluctuations in a model space

M.Yu. Romanovsky

Physica A: Statistical Mechanics and its Applications, 2000, vol. 287, issue 3, 450-460

Abstract: Truncated Levy distributions of “SP500” stock index fluctuations (Mantegna, Stanley, Nature 376 (1995) 46) are obtained in the formerly introduced model (Romanovsky, Physica A 265 (1999) 264) for stock market. A one-body random kinematics in this space corresponds to the one-shares fluctuations on stock exchange. The statistics of such kinematics is investigated, and the asymptotic distribution of one-share fluctuations was obtained. All results are compared with the known “experimental” data (Mantegna, Stanley, Nature 376 (1995) 46; Plerou et al., Phys. Rev. E 60 (1999) 6519 and 5306; Gopikrishnan et al., Eur. J. Phys. B (1998) 138).

Keywords: Truncated Levy distribution; S&P500; One-share price fluctuation (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:287:y:2000:i:3:p:450-460

DOI: 10.1016/S0378-4371(00)00384-8

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