Scaling of the distribution of fluctuations of financial market indices.

@article{Gopikrishnan1999ScalingOT,
  title={Scaling of the distribution of fluctuations of financial market indices.},
  author={P. Gopikrishnan and Vasiliki Plerou and Lu{\'i}s A. Nunes Amaral and Martin Meyer and Harry Eugene Stanley},
  journal={Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics},
  year={1999},
  volume={60 5 Pt A},
  pages={5305-16}
}
We study the distribution of fluctuations of the S&P 500 index over a time scale deltat 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 deltat, where deltat varies… CONTINUE READING
Highly Influential
This paper has highly influenced 18 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS

Citations

Publications citing this paper.
Showing 1-10 of 152 extracted citations

Limit order books

View 5 Excerpts
Highly Influenced

Power Laws in Economics and Finance

View 6 Excerpts
Highly Influenced

Multiscale relationship analysis of power-law distribution and correlation in Chinese stock market

2007 IEEE International Conference on Grey Systems and Intelligent Services • 2007
View 9 Excerpts
Highly Influenced

Multivariate distribution of returns in financial time series

J. Comput. Meth. in Science and Engineering • 2006
View 6 Excerpts
Highly Influenced

Economic fluctuations and statistical physics : Quantifying extremely rare and less rare events in finance

H. E. Stanleya, Xavier Gabaixb, Parameswaran Gopikrishnana, Vasiliki Pleroua
2007
View 5 Excerpts
Highly Influenced

References

Publications referenced by this paper.
Showing 1-10 of 40 references

An Introduction to Econophysics: Correlations and Complexity in Finance ͑Cambridge University Press

R N Mantegna, H E Stanley
An Introduction to Econophysics: Correlations and Complexity in Finance ͑Cambridge University Press • 1999

Financial Markets Tick by Tick

M Lundin, M M Dacorogna, U A Muller
Financial Markets Tick by Tick • 1999

͓7͔ Econophysics: An Emerging Science

͓7͔ Econophysics: An Emerging Science • 1999

Pictet, in A Practical Guide to Heavy Tails

U A Muller, M M Dacorogna
Pictet, in A Practical Guide to Heavy Tails • 1998

Theorie des Risques Financiéres ͑Alea-Saclay, Eyrolles

J P Bouchaud, M Potters
Theorie des Risques Financiéres ͑Alea-Saclay, Eyrolles • 1998

J. Econ. Behav. Organizat. J. Econ. Dyn. Control Appl. Econ. Lett

T Lux, M Marchesi, Nature ͑london, Lux
J. Econ. Behav. Organizat. J. Econ. Dyn. Control Appl. Econ. Lett • 1997

Statistics for Long-Memory Processes ͑Chapman and Hall

J Beran
Statistics for Long-Memory Processes ͑Chapman and Hall • 1994

The Handbook of International Macroeconomics , edited by F. van der Ploeg ͑Blackwell

C G De Vries
The Handbook of International Macroeconomics , edited by F. van der Ploeg ͑Blackwell • 1994

J. Econometrics J. Finance Tauchen, Rev. Financial Studies J. Business Rev. Financial Studies

T Bollerslev, R Y Chou, +3 authors G Rossi
J. Econometrics J. Finance Tauchen, Rev. Financial Studies J. Business Rev. Financial Studies • 1992

Similar Papers

Loading similar papers…