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Power Law Distributions for Stock Prices in Financial Markets

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  • Kyungsik Kim
  • S. -M. Yoon
  • K. H. Chang

Abstract

We study the rank distribution, the cumulative probability, and the probability density of returns of stock prices of listed firms traded in four stock markets. We find that the rank distribution and the cumulative probability of stock prices traded in are consistent approximately with the Zipf's law or a power law. It is also obtained that the probability density of normalized returns for listed stocks almost has the form of the exponential function. Our results are compared with those of other numerical calculations.

Suggested Citation

  • Kyungsik Kim & S. -M. Yoon & K. H. Chang, 2004. "Power Law Distributions for Stock Prices in Financial Markets," Papers cond-mat/0412014, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0412014
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    File URL: http://arxiv.org/pdf/cond-mat/0412014
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    Cited by:

    1. James T. Wilkinson & Jacob Kelter & John Chen & Uri Wilensky, 2024. "A Network Simulation of OTC Markets with Multiple Agents," Papers 2405.02480, arXiv.org.

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