Advanced Search
MyIDEAS: Login to save this paper or follow this series

Scaling of the distribution of fluctuations of financial market indices


Author Info

  • Parameswaran Gopikrishnan

    (Center for Polymer Studies, Boston University, Boston, MA)

  • Vasiliki Plerou

    (Center for Polymer Studies, Boston University, Boston, MA)

  • Luis A. Nunes Amaral

    (Center for Polymer Studies, Boston University, Boston, MA)

  • Martin Meyer

    (Center for Polymer Studies, Boston University, Boston, MA)

  • H. Eugene Stanley

    (Center for Polymer Studies, Boston University, Boston, MA)

Registered author(s):


    We study the distribution of fluctuations over a time scale $\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the 13-year period 1984-1996, database (ii) contains 8686 daily records for the 35-year period 1962-1996, and database (iii) contains 852 monthly records for the 71-year period 1926-1996. We compute the probability distributions of returns over a time scale $\Delta t$, where $\Delta t$ varies approximately over a factor of 10^4 - from 1 min up to more than 1 month. We find that the distributions for $\Delta t \leq$ 4 days (1560 mins) are consistent with a power-law asymptotic behavior, characterized by an exponent $\alpha \approx 3$, well outside the stable L\'evy regime $0

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    File Function: Latest version
    Download Restriction: no

    Bibliographic Info

    Paper provided by in its series Papers with number cond-mat/9905305.

    as in new window
    Date of creation: May 1999
    Date of revision:
    Handle: RePEc:arx:papers:cond-mat/9905305

    Contact details of provider:
    Web page:

    Related research



    No references listed on IDEAS
    You can help add them by filling out this form.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.


    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:arx:papers:cond-mat/9905305. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.