Power laws and Gaussians for stock market fluctuations

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2007-01-15

Author

Tuncay, Çağlar

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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

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Citation Formats

Ç. Tuncay, “Power laws and Gaussians for stock market fluctuations,” PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, pp. 325–330, 2007, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/39841.