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Stock market return distributions: from past to present

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Listed:
  • S. Drozdz
  • M. Forczek
  • J. Kwapien
  • P. Oswiecimka
  • R. Rak

Abstract

We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with decreasing sampling frequency. Our study is based on high-frequency recordings of the S&P500, DAX and WIG20 indices over the interval May 2004 - May 2006. Our findings suggest that dynamics of the contemporary market may differ from the one observed in the past. This effect indicates a constantly increasing efficiency of world markets.

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  • S. Drozdz & M. Forczek & J. Kwapien & P. Oswiecimka & R. Rak, 2007. "Stock market return distributions: from past to present," Papers 0704.0664, arXiv.org.
    • Handle: RePEc:arx:papers:0704.0664
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