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Inverse Cubic Law for the Probability Distribution of Stock Price Variations

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  • Parameswaran Gopikrishnan
  • Martin Meyer
  • Luis A Nunes Amaral
  • 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

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    File URL: http://arxiv.org/pdf/cond-mat/9803374
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number cond-mat/9803374.

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    Date of creation: Mar 1998
    Date of revision: May 1998
    Publication status: Published in Eur. Phys. J. B (Rapid Note), 3 (1998) 139
    Handle: RePEc:arx:papers:cond-mat/9803374

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    Web page: http://arxiv.org/

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