Power laws and Gaussians for stock market fluctuations

Çağlar Tuncay and Dietrich Stauffer

Physica A: Statistical Mechanics and its Applications, 2007, vol. 374, issue 1, 325-330

Abstract: The daily financial volume of transaction on the New York Stock Exchange and its day-to-day fluctuations are analysed with respect to power-law tails as well to their long-term trends. We also model the transition to a Gaussian distribution for longer time intervals, like months instead of days.

Keywords: Fat tails; Normal distribution; Pareto distribution (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:374:y:2007:i:1:p:325-330

DOI: 10.1016/j.physa.2006.07.012

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