Empirical Laws Of A Stock Price Index And A Stochastic Model
Recent works by econo-physicists [5,8,15,19] have shown that the probability function of the share returns and the volatility satisfies a power law with an exponent close to 4. On the other hand, we investigated quantitatively the return and the volatility of the daily data of the Nikkei 225 index from 1990 to 2003, and we found that the distributions of the returns and the volatility can be accurately described by the exponential distributions . We then propose a stochastic model of stock markets that can reproduce these empirical laws. In our model the fluctuations of stock prices are caused by interactions among traders. We indicate that the model can reproduce the empirical facts mentioned above. In particular, we show that the interaction strengths among traders are a key variable that can distinguish the emergence of the exponential distribution or the power-law distribution.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 06 (2003)
Issue (Month): 03 ()
|Contact details of provider:|| Web page: http://www.worldscinet.com/acs/acs.shtml|
|Order Information:|| Email: |
When requesting a correction, please mention this item's handle: RePEc:wsi:acsxxx:v:06:y:2003:i:03:p:303-312. 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: (Tai Tone Lim)
If references are entirely missing, you can add them using this form.