Inverse Cubic Law for the Probability Distribution of Stock Price Variations

Parameswaran Gopikrishnan, Martin Meyer, Luis A Nunes Amaral and H Eugene Stanley

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Abstract: The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the two year period Jan 1994 -- Dec 1995. A sample of 40 million data points is extracted, which is substantially larger than studied hitherto. We find an asymptotic power-law behavior for the cumulative distribution with an exponent alpha approximately 3, well outside the Levy regime 0

Date: 1998-03, Revised 1998-05
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Citations: View citations in EconPapers (153)

Published in Eur. Phys. J. B (Rapid Note), 3 (1998) 139

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