Power laws and Gaussians for stock market fluctuations

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.

MoreLess

Year of publication:	2007
Authors:	Tuncay, Çağlar ; Stauffer, Dietrich
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 374.2007, 1, p. 325-330
Publisher:	Elsevier
Subject:	Fat tails \| Normal distribution \| Pareto distribution

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011062526