UNCERTAINTY IN THE FLUCTUATIONS OF THE PRICE OF STOCKS

G. R. Jafari, M. Sadegh Movahed, P. Norouzzadeh, A. Bahraminasab, Muhammad Sahimi (), F. Ghasemi and M. Reza Rahimi Tabar
Additional contact information
G. R. Jafari: Department of Physics, Shahid Beheshti University, Tehran 19839, Iran
M. Sadegh Movahed: Department of Physics, Shahid Beheshti University, Tehran 19839, Iran
P. Norouzzadeh: Department of Physics, University of Antwerp, Groenenborgerlaan 171, B-2020 Antwerpen, Belgium
A. Bahraminasab: Physics Department, University of Lancaster, Lancaster, LA1 4YB, United Kingdom
Muhammad Sahimi: Mork Family Department of Chemical Engineering & Materials Science, University of Southern California, Los Angeles, California 90089-1211, USA
F. Ghasemi: The Max Planck Institute for the Physics of Complex Systems, Nthnitzer Strasse 38, 01187 Dresden, Germany
M. Reza Rahimi Tabar: Department of Physics, Sharif University of Technology, Tehran 11365-9161, Iran;

International Journal of Modern Physics C (IJMPC), 2007, vol. 18, issue 11, 1689-1697

Abstract: We report on a study of the Tehran Price Index (TEPIX) from 2001 to 2006 as an emerging market that has been affected by several political crises during the recent years, and analyze the non-Gaussian probability density function (PDF) of the log returns of the stock prices. We show that while the average of the index did not fall very much over the time period of the study, its day-to-day fluctuations strongly increased due to the crises. Using an approach based on multiplicative processes with a detrending procedure, we study the scale-dependence of the non-Gaussian PDFs, and show that the temporal dependence of their tails indicates a gradual and systematic increase in the probability of the appearance of large increments in the returns on approaching distinct critical time scales over which the TEPIX has exhibited maximum uncertainty.

Keywords: Stock market; Castaing equation; non-Gaussian distributions; fluctuations; 89.65.Gh; 89.75.-k (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0129183107011662

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