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Universality in DAX index returns fluctuations

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  • Rui Gon\c{c}alves
  • Helena Ferreira
  • Alberto Pinto
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    Abstract

    In terms of the stock exchange returns, we compute the analytic expression of the probability distributions F{DAX,+} and F{DAX,-} of the normalized positive and negative DAX (Germany) index daily returns r(t). Furthermore, we define the alpha re-scaled DAX daily index positive returns r(t)^alpha and negative returns (-r(t))^alpha that we call, after normalization, the alpha positive fluctuations and alpha negative fluctuations. We use the Kolmogorov-Smirnov statistical test, as a method, to find the values of alpha that optimize the data collapse of the histogram of the alpha fluctuations with the Bramwell-Holdsworth-Pinton (BHP) probability density function. The optimal parameters that we found are alpha+=0.50 and alpha-=0.48. Since the BHP probability density function appears in several other dissimilar phenomena, our results reveal universality in the stock exchange markets.

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    File URL: http://arxiv.org/pdf/1004.1136
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1004.1136.

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    Date of creation: Apr 2010
    Date of revision: Apr 2010
    Handle: RePEc:arx:papers:1004.1136

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    Web page: http://arxiv.org/

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    1. Lillo, Fabrizio & Mantegna, Rosario N., 2001. "Ensemble properties of securities traded in the NASDAQ market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 161-167.
    2. Barnhart, Scott W. & Giannetti, Antoine, 2009. "Negative earnings, positive earnings and stock return predictability: An empirical examination of market timing," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 70-86, January.
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