Quantifying price fluctuations in the Brazilian stock market

Benjamin Tabak, M.Y. Takami, Daniel Cajueiro and A. Petitinga

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 1, 59-62

Abstract: This paper investigates price fluctuations in the Brazilian stock market. We employ a recently developed methodology to test whether the Brazilian stock price returns present a power law distribution and find that we cannot reject such behavior. Empirical results for sub-partitions of the time series suggests that for most of the time the power law is not rejected, but that in some cases the data set does not conform with a power law distribution.

Keywords: Power law distribution; Stock market; Emerging markets; Econophysics (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:1:p:59-62

DOI: 10.1016/j.physa.2008.09.028

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