Inverse Cubic Law for the Probability Distribution of Stock Price Variations
The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the two year period Jan 1994 -- Dec 1995. A sample of 40 million data points is extracted, which is substantially larger than studied hitherto. We find an asymptotic power-law behavior for the cumulative distribution with an exponent alpha approximately 3, well outside the Levy regime 0
|Date of creation:||Mar 1998|
|Date of revision:||May 1998|
|Publication status:||Published in Eur. Phys. J. B (Rapid Note), 3 (1998) 139|
|Contact details of provider:|| Web page: http://arxiv.org/|
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