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
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