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dc.contributor.authorGopikrishnan, P.en_US
dc.contributor.authorPlerou, V.en_US
dc.contributor.authorAmaral, Luis A. Nunesen_US
dc.contributor.authorMeyer, M.en_US
dc.contributor.authorStanley, H. Eugeneen_US
dc.date.accessioned2020-04-01T15:23:40Z
dc.date.available2020-04-01T15:23:40Z
dc.date.issued1999-11-01
dc.identifierhttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000083870700043&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=6e74115fe3da270499c3d65c9b17d654
dc.identifier.citationP. Gopikrishnan, V. Plerou, L.A.N. Amaral, M. Meyer, H.E. Stanley. 1999. "Scaling of the distribution of fluctuations of financial market indices." PHYSICAL REVIEW E, Volume 60, Issue 5, pp. 5305 - 5316 (12). https://doi.org/10.1103/PhysRevE.60.5305
dc.identifier.issn1063-651X
dc.identifier.urihttps://hdl.handle.net/2144/39921
dc.description.abstractWe study the distribution of fluctuations of the S&P 500 index over a time scale Δt by analyzing three distinct databases. Database (i) contains approximately 1 200 000 records, sampled at 1-min intervals, for the 13-year period 1984–1996, database (ii) contains 8686 daily records for the 35-year period 1962–1996, and database (iii) contains 852 monthly records for the 71-year period 1926–1996. We compute the probability distributions of returns over a time scale Δt, where Δt varies approximately over a factor of 10^4—from 1 min up to more than one month. We find that the distributions for Δt<~ 4 d (1560 min) are consistent with a power-law asymptotic behavior, characterized by an exponent α≈3, well outside the stable Lévy regime 0<α<2. To test the robustness of the S&P result, we perform a parallel analysis on two other financial market indices. Database (iv) contains 3560 daily records of the NIKKEI index for the 14-year period 1984–1997, and database (v) contains 4649 daily records of the Hang-Seng index for the 18-year period 1980–1997. We find estimates of α consistent with those describing the distribution of S&P 500 daily returns. One possible reason for the scaling of these distributions is the long persistence of the autocorrelation function of the volatility. For time scales longer than (Δt)×≈4 d, our results are consistent with a slow convergence to Gaussian behavior.en_US
dc.format.extent5305 - 5316 p.en_US
dc.languageEnglish
dc.language.isoen_US
dc.publisherAMERICAN PHYSICAL SOCen_US
dc.relation.ispartofPHYSICAL REVIEW E
dc.rights©1999 American Physical Societyen_US
dc.subjectScience & technologyen_US
dc.subjectPhysical sciencesen_US
dc.subjectPhysics, fluids & plasmasen_US
dc.subjectPhysics, mathematicalen_US
dc.subjectPhysicsen_US
dc.subjectForeign-exchange ratesen_US
dc.subjectStock marketen_US
dc.subjectEmpirical evidenceen_US
dc.subjectStochastic processen_US
dc.subjectVolatilityen_US
dc.subjectModelen_US
dc.subjectLawen_US
dc.subjectIndexen_US
dc.subjectConvergenceen_US
dc.subjectTurbulenceen_US
dc.titleScaling of the distribution of fluctuations of financial market indicesen_US
dc.typeArticleen_US
dc.description.versionFirst author draften_US
dc.identifier.doi10.1103/PhysRevE.60.5305
pubs.elements-sourceweb-of-scienceen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Physicsen_US
pubs.publication-statusPublisheden_US
dc.identifier.mycv93094


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