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Scaling of the distribution of price fluctuations of individual companies


  • V. Plerou

    (Boston University)

  • P. Gopikrishnan

    (Boston University)

  • L. A. N. Amaral

    (Boston University)

  • M. Meyer

    (Boston University)

  • H. E. Stanley

    (Boston University)


We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets: (a) the New York Stock Exchange, (b) the American Stock Exchange, and (c) the National Association of Securities Dealers Automated Quotation stock market. Specifically, we consider (i) the trades and quotes database, for which we analyze 40 million records for 1000 US companies for the 2-year period 1994--95, and (ii) the Center for Research and Security Prices database, for which we analyze 35 million daily records for approximately 16,000 companies in the 35-year period 1962--96. We study the probability distribution of returns over varying time scales $\Delta t$, where $\Delta t$ varies by a factor of $\approx 10^5$---from 5 min up to $\approx$ 4 years. For time scales from 5~min up to approximately 16~days, we find that the tails of the distributions can be well described by a power-law decay, characterized by an exponent $\alpha \approx 3$ ---well outside the stable L\'evy regime $0

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  • V. Plerou & P. Gopikrishnan & L. A. N. Amaral & M. Meyer & H. E. Stanley, 1999. "Scaling of the distribution of price fluctuations of individual companies," Papers cond-mat/9907161,
  • Handle: RePEc:arx:papers:cond-mat/9907161

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    References listed on IDEAS

    1. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    2. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    3. Crato, Nuno & de Lima, Pedro J. F., 1994. "Long-range dependence in the conditional variance of stock returns," Economics Letters, Elsevier, vol. 45(3), pages 281-285.
    4. De Jong, Frank & Mahieu, Ronald & Schotman, Peter, 1998. "Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate1, 2," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 5-27, February.
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