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Power laws and Gaussians for stock market fluctuations
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Date
2007-01-15
Author
Tuncay, Çağlar
Stauffer, Dietrich
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This work is licensed under a
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
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The daily financial volume of transaction on the New York Stock Exchange and its day-to-day fluctuations are analysed with respect to power-law tails as well to their long-term trends. We also model the transition to a Gaussian distribution for longer time intervals, like months instead of days.
Subject Keywords
Statistics and Probability
,
Condensed Matter Physics
URI
https://hdl.handle.net/11511/39841
Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
DOI
https://doi.org/10.1016/j.physa.2006.07.012
Collections
Department of Physics, Article
