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On the log-normal distribution of stock market data

Author

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  • Antoniou, I
  • Ivanov, Vi.V
  • Ivanov, Va.V
  • Zrelov, P.V

Abstract

We present our recent studies on the development of a statistical model of stock market data. For some stock market data, the statistical distribution of closing prices normalized by the corresponding traded volumes, fits well a log-normal law. For other stocks, the log-normal law is obtained after application of a detrending procedure. Different schemes for the trend determination are considered.

Suggested Citation

  • Antoniou, I & Ivanov, Vi.V & Ivanov, Va.V & Zrelov, P.V, 2004. "On the log-normal distribution of stock market data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 331(3), pages 617-638.
    • Handle: RePEc:eee:phsmap:v:331:y:2004:i:3:p:617-638
    DOI: 10.1016/j.physa.2003.09.034
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    References listed on IDEAS

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    1. Pierre Cizeau & Yanhui Liu & Martin Meyer & C. -K. Peng & H. Eugene Stanley, 1997. "Volatility distribution in the S&P500 Stock Index," Papers cond-mat/9708143, arXiv.org.
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    3. Cizeau, Pierre & Liu, Yanhui & Meyer, Martin & Peng, C.-K. & Eugene Stanley, H., 1997. "Volatility distribution in the S&P500 stock index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 441-445.
    4. Fabrizio Lillo & J. Doyne Farmer & Rosario N. Mantegna, 2003. "Master curve for price-impact function," Nature, Nature, vol. 421(6919), pages 129-130, January.
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    Cited by:

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    2. Julius O. Campeci~no, 2021. "Portfolio Theory and Security Investment Risk Analysis Using Coefficient of Variation: An Alternative to Mean-Variance Analysis," Papers 2109.03977, arXiv.org, revised Jun 2022.
    3. Vadim Azhmyakov & Ilya Shirokov & Yuri Dernov & Luz Adriana Guzman Trujillo, 2023. "On a Data-Driven Optimization Approach to the PID-Based Algorithmic Trading," JRFM, MDPI, vol. 16(9), pages 1-18, August.
    4. Zhong, Howard & Hamilton, Mark, 2023. "Exploring gender and race biases in the NFT market," Finance Research Letters, Elsevier, vol. 53(C).

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