Inverse Cubic Law for the Probability Distribution of Stock Price Variations

Abstract

The probability distribution of a single stock is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all the securities listed in three major US stock markets, for the two year period Jan 1994 Dec 1995. A sample of 40 million data points are extracted, which is substantially larger than studied hitherto. A power law… (More)

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Cite this paper

@inproceedings{Gopikrishnan1998InverseCL, title={Inverse Cubic Law for the Probability Distribution of Stock Price Variations}, author={P. Gopikrishnan and Martin Meyer and L{\'u}ıs A. Nunes Amaral}, year={1998} }