• Title of article

    Truncated Levy distribution of SP500 stock index fluctuations. Distribution of one-share fluctuations in a model space

  • Author/Authors

    M. Yu. Romanovsky and O. B. Shiryaev ، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2000
  • Pages
    11
  • From page
    450
  • To page
    460
  • Abstract
    Truncated Levy distributions of “SP500” stock index fluctuations (Mantegna, Stanley, Nature 376 (1995) 46) are obtained in the formerly introduced model (Romanovsky, Physica A 265 (1999) 264) for stock market. A one-body random kinematics in this space corresponds to the one-shares fluctuations on stock exchange. The statistics of such kinematics is investigated, and the asymptotic distribution of one-share fluctuations was obtained. All results are compared with the known “experimental” data (Mantegna, Stanley, Nature 376 (1995) 46; Plerou et al., Phys. Rev. E 60 (1999) 6519 and 5306; Gopikrishnan et al., Eur. J. Phys. B (1998) 138).
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Serial Year
    2000
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Record number

    866845