Market laws

Caglar Tuncay

Papers from arXiv.org

Abstract: More than one billion data sampled with different frequencies from several financial instruments were investigated with the aim of testing whether they involve power law. As a result, a known power law with the power exponent around -4 was detected in the empirical distributions of the relative returns. Moreover, a number of new power law behaviors with various power exponents were explored in the same data. Further on, a model based on finite sums over numerous Maxwell-Boltzmann type distribution functions with random (pseudorandom) multipliers in the exponent were proposed to deal with the empirical distributions involving power laws. The results indicate that the proposed model may be universal.

Date: 2020-10
New Economics Papers: this item is included in nep-hme
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2010.01199 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2010.01199

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators (help@arxiv.org).