Benford’s laws tests on S&P500 daily closing values and the corresponding daily log-returns both point to huge non-conformity

Marcel Ausloos, Valerio Ficcadenti, Gurjeet Dhesi and Muhammad Shakeel

Physica A: Statistical Mechanics and its Applications, 2021, vol. 574, issue C

Abstract: The so-called Benford’s laws are of frequent use to detect anomalies and regularities in data sets, particularly in election results and financial statements. However, primary financial market indices have not been much studied, if studied at all, within such a perspective.

Keywords: S&P500; Benford’s laws; Log-returns; Closing prices; Geometric Brownian motion (search for similar items in EconPapers)
Date: 2021
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Working Paper: Benford's laws tests on S&P500 daily closing values and the corresponding daily log-returns both point to huge non-conformity (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:574:y:2021:i:c:s0378437121002417

DOI: 10.1016/j.physa.2021.125969

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