Stock return distributions: tests of scaling and universality from three distinct stock markets.

@article{Plerou2008StockRD,
  title={Stock return distributions: tests of scaling and universality from three distinct stock markets.},
  author={Vasiliki Plerou and Harry Eugene Stanley},
  journal={Physical review. E, Statistical, nonlinear, and soft matter physics},
  year={2008},
  volume={77 3 Pt 2},
  pages={
          037101
        }
}
We examine the validity of the power-law tails of the distributions of stock returns P{R>x} ~ x(-zeta(R)) using trade-by-trade data from three distinct markets. We find that both the negative as well as the positive tails of the distributions of returns display power-law tails, with mutually consistent values of zeta(R) approximately 3 for all three markets. We perform similar analyses of the related microstructural variable, the number of trades N identical with N(Deltat) over time interval… CONTINUE READING

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