Power law for ensembles of stock prices

Taisei Kaizoji () and Michiyo Kaizoji

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 240-243

Abstract: In this paper, we quantitatively investigate the statistical properties of an ensemble of stock prices. We selected 1200 stocks traded in the Tokyo Stock Exchange and formed a statistical ensemble of daily stock prices for each trading day in the 5 year period from January 4, 1988 to December 30, 1992. We found that the tail of the complementary cumulative distribution function of the ensembles is accurately described by a power-law distribution with an exponent that moves in the range of 1.7<α<2.2.

Keywords: Econophysics; Power law; Ensemble distribution (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (6)

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Working Paper: Power law for ensembles of stock prices (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:240-243

DOI: 10.1016/j.physa.2004.06.125

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