Scaling of the distribution of fluctuations of financial market indices
dc.contributor.author | Gopikrishnan, P. | en_US |
dc.contributor.author | Plerou, V. | en_US |
dc.contributor.author | Amaral, Luis A. Nunes | en_US |
dc.contributor.author | Meyer, M. | en_US |
dc.contributor.author | Stanley, H. Eugene | en_US |
dc.date.accessioned | 2020-04-01T15:23:40Z | |
dc.date.available | 2020-04-01T15:23:40Z | |
dc.date.issued | 1999-11-01 | |
dc.identifier | http://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.citation | P. 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.issn | 1063-651X | |
dc.identifier.uri | https://hdl.handle.net/2144/39921 | |
dc.description.abstract | We 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.extent | 5305 - 5316 p. | en_US |
dc.language | English | |
dc.language.iso | en_US | |
dc.publisher | AMERICAN PHYSICAL SOC | en_US |
dc.relation.ispartof | PHYSICAL REVIEW E | |
dc.rights | ©1999 American Physical Society | en_US |
dc.subject | Science & technology | en_US |
dc.subject | Physical sciences | en_US |
dc.subject | Physics, fluids & plasmas | en_US |
dc.subject | Physics, mathematical | en_US |
dc.subject | Physics | en_US |
dc.subject | Foreign-exchange rates | en_US |
dc.subject | Stock market | en_US |
dc.subject | Empirical evidence | en_US |
dc.subject | Stochastic process | en_US |
dc.subject | Volatility | en_US |
dc.subject | Model | en_US |
dc.subject | Law | en_US |
dc.subject | Index | en_US |
dc.subject | Convergence | en_US |
dc.subject | Turbulence | en_US |
dc.title | Scaling of the distribution of fluctuations of financial market indices | en_US |
dc.type | Article | en_US |
dc.description.version | First author draft | en_US |
dc.identifier.doi | 10.1103/PhysRevE.60.5305 | |
pubs.elements-source | web-of-science | en_US |
pubs.notes | Embargo: Not known | en_US |
pubs.organisational-group | Boston University | en_US |
pubs.organisational-group | Boston University, College of Arts & Sciences | en_US |
pubs.organisational-group | Boston University, College of Arts & Sciences, Department of Physics | en_US |
pubs.publication-status | Published | en_US |
dc.identifier.mycv | 93094 |
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CAS: Physics: Scholarly Papers [356]
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BU Open Access Articles [3866]