Economics at your fingertips  

Scaling of the distribution of price fluctuations of individual companies

V. Plerou, P. Gopikrishnan, L. A. N. Amaral, M. Meyer and H. E. Stanley
Additional contact information
V. Plerou: Boston University
P. Gopikrishnan: Boston University
L. A. N. Amaral: Boston University
M. Meyer: Boston University
H. E. Stanley: Boston University

Papers from

Abstract: We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets: (a) the New York Stock Exchange, (b) the American Stock Exchange, and (c) the National Association of Securities Dealers Automated Quotation stock market. Specifically, we consider (i) the trades and quotes database, for which we analyze 40 million records for 1000 US companies for the 2-year period 1994--95, and (ii) the Center for Research and Security Prices database, for which we analyze 35 million daily records for approximately 16,000 companies in the 35-year period 1962--96. We study the probability distribution of returns over varying time scales $\Delta t$, where $\Delta t$ varies by a factor of $\approx 10^5$---from 5 min up to $\approx$ 4 years. For time scales from 5~min up to approximately 16~days, we find that the tails of the distributions can be well described by a power-law decay, characterized by an exponent $\alpha \approx 3$ ---well outside the stable L\'evy regime $0

Date: 1999-07
References: Add references at CitEc
Citations View citations in EconPapers (103) Track citations by RSS feed

Downloads: (external link) 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:

Access Statistics for this paper

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

Page updated 2018-06-15
Handle: RePEc:arx:papers:cond-mat/9907161