Long-Time Fluctuations in a Dynamical Model of Stock Market Indices

Ofer Biham, Zhi-Feng Huang, Ofer Malcai and Sorin Solomon

Papers from arXiv.org

Abstract: Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. In recent empirical studies of stock market indices it was examined whether the distribution P(r) of returns r(tau) after some time tau can be described by a (truncated) Levy-stable distribution L_{alpha}(r) with some index 0 2, namely beyond the range of Levy-stable distributions. Our results are in agreement with both empirical studies and reconcile the apparent disagreement between their results.

Date: 2002-08
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Published in phys. rev. E 64, 026101 (2001)

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