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Alternation of different fluctuation regimes in the stock market dynamics

Author

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  • Kwapień, J.
  • Drożdż, S.
  • Speth, J.

Abstract

Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading, separately. We show that periods characterized by the strong inter-stock couplings can be associated with the distributions of index fluctuations which reveal more pronounced tails than in the case of weaker couplings in the market. During periods of strong correlations in the German market these distributions can even reveal an apparent Lévy-stable component.

Suggested Citation

  • Kwapień, J. & Drożdż, S. & Speth, J., 2003. "Alternation of different fluctuation regimes in the stock market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 330(3), pages 605-621.
    • Handle: RePEc:eee:phsmap:v:330:y:2003:i:3:p:605-621
    DOI: 10.1016/j.physa.2003.09.012
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    References listed on IDEAS

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    1. Marc Potters & Jean-Philippe Bouchaud, 2003. "Comment on: "Two-phase behaviour of financial markets"," Science & Finance (CFM) working paper archive 50002, Science & Finance, Capital Fund Management.
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    Cited by:

    1. Molina-Muñoz, Jesús & Mora-Valencia, Andrés & Perote, Javier, 2020. "Market-crash forecasting based on the dynamics of the alpha-stable distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    2. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2021. "Financial Return Distributions: Past, Present, and COVID-19," Papers 2107.06659, arXiv.org.
    3. Balázs Égert & Evžen Kočenda, 2011. "Time-varying synchronization of European stock markets," Empirical Economics, Springer, vol. 40(2), pages 393-407, April.
    4. Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).

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