Showing 171 - 180 of 313
Price fluctuations of commodities like cotton and wheat are thought to display probability distributions of returns that follow a L\'evy stable distribution. Recent analysis of stocks and foreign exchange markets show that the probability distributions are not L\'evy stable, a plausible result...
Persistent link: https://www.econbiz.de/10005098952
We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend for the coefficient. This phenomenon supports the...
Persistent link: https://www.econbiz.de/10005098988
The relationship between the size and the variance of firm growth rates is known to follow an approximate power-law behavior $\sigma(S) \sim S^{-\beta(S)}$ where $S$ is the firm size and $\beta(S)\approx 0.2$ is an exponent weakly dependent on $S$. Here we show how a model of proportional growth...
Persistent link: https://www.econbiz.de/10005099023
We analyze a database comprising quarterly sales of 55624 pharmaceutical products commercialized by 3939 pharmaceutical firms in the period 1992--2001. We study the probability density function (PDF) of growth in firms and product sales and find that the width of the PDF of growth decays with...
Persistent link: https://www.econbiz.de/10005099063
We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and perform a new estimation of market impact that accounts...
Persistent link: https://www.econbiz.de/10005099189
Scale-free distributions and correlation functions found in financial data are reminiscent of the scale invariance of physical observables in the vicinity of a critical point. Here, we present empirical evidence for a transition phenomenon, accompanied by a symmetry breaking, in the investors'...
Persistent link: https://www.econbiz.de/10005099212
We study the distribution of fluctuations over a time scale $\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the 13-year period 1984-1996, database (ii) contains 8686...
Persistent link: https://www.econbiz.de/10005099340
Classic studies of the probability density of price fluctuations $g$ for stocks and foreign exchanges of several highly developed economies have been interpreted using a {\it power-law} probability density function $P(g) \sim g^{-(\alpha+1)}$ with exponent values $\alpha 2$, which are outside...
Persistent link: https://www.econbiz.de/10005099385
Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simultaneously-recorded time series in the presence of non-stationarity. We illustrate the method by selected examples...
Persistent link: https://www.econbiz.de/10005105839
We address the question of how stock prices respond to changes in demand. We quantify the relations between price change $G$ over a time interval $\Delta t$ and two different measures of demand fluctuations: (a) $\Phi$, defined as the difference between the number of buyer-initiated and...
Persistent link: https://www.econbiz.de/10005083546