Luís A. Nunes Amaral

co-Director, Northwestern Institute on Complex Systems
Professor of Chemical & Biological Engineering
Professor of Physics & Astronomy (by courtesy)
Professor of Medicine (by courtesy)

Chemical & Biological Engineering
2145 Sheridan Road (Room E136)
EvanstonIL 60208US
Phone: (847) 491-7850


The probability distribution of stock price changes is studied by analysing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the two year period January 1994 - December 1995. A sample of 40 million data points is extracted, which is substantially larger than studied hitherto. We find an asymptotic power-law behavior for the cumulative distribution with an exponent alpha approximate to 3, well outside the Levy regime (0 < alpha < 2).