Inverse Cubic Law for the Probability Distribution of Stock Price Variations

@inproceedings{Gopikrishnan1998InverseCL,
  title={Inverse Cubic Law for the Probability Distribution of Stock Price Variations},
  author={P. Gopikrishnan and Martin S. Meyer and Luı́s A. Nunes Amaral and Harry Eugene Stanley},
  year={1998}
}
The asymptotic behavior of the increment distribution of economic indices has long been a topic of avid interest [1–6]. Conclusive empirical results are, however, difficult to obtain, since the asymptotic behavior can be obtained only by a proper sampling of the tails, which requires a huge quantity of data. Here, we analyze a database documenting each and every trade in the three largest US stock markets, the New York Stock Exchange (NYSE), the We thereby extract a sample of 4 × 10 7 data… CONTINUE READING

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