Luís A. Nunes Amaral

Professor of Engineering Sciences and Applied Mathematics
Professor of Medicine (by courtesy)
Professor of Molecular Biosciences (by courtesy)
Professor of Physics & Astronomy (by courtesy)

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

Inverse cubic law for the distribution of stock price variations

Gopikrishnan P, Meyer M, Amaral LAN, Stanley HE
European Physical Journal B 3, 139-140 (1998)
Times cited: 271

Abstract

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).