On the log-normal distribution of stock market data

I Antoniou, Vi.V Ivanov, Va.V Ivanov and P.v Zrelov

Physica A: Statistical Mechanics and its Applications, 2004, vol. 331, issue 3, 617-638

Abstract: We present our recent studies on the development of a statistical model of stock market data. For some stock market data, the statistical distribution of closing prices normalized by the corresponding traded volumes, fits well a log-normal law. For other stocks, the log-normal law is obtained after application of a detrending procedure. Different schemes for the trend determination are considered.

Keywords: Stock market; Log-normal law; Statistical model (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:331:y:2004:i:3:p:617-638

DOI: 10.1016/j.physa.2003.09.034

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