Inverse-cubic law of index fluctuation distribution in Indian markets

Inverse cubic law of index fluctuation distribution in Indian markets

One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets such as the New York Stock Exchange (NYSE) have been found to show heavy-tailed fluctuation distribution, there have been claims that emerging markets behave differently. Here we investigate the d...

Inverse Cubic Law for the Probability Distribution of Stock Price Variations

The asymptotic behavior of the increment distribution of economic indices has long been a topic of avid interest [1–6]. Conclusive empirical results are, however, difficult to obtain, since the asymptotic behavior can be obtained only by a proper sampling of the tails, which requires a huge quantity of data. Here, we analyze a database documenting each and every trade in the three largest US st...

Rapid Note Inverse cubic law for the distribution of stock price variations

The probability distribution of stock price changes is studied by analyzing 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 ...

Self-organization of price fluctuation distribution in evolv- ing markets

– Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively different in emerging markets as compared to developed markets. Here we analyse both high-frequency tick-by-tick as well as daily closing price data to sh...

Markets, Conflict, and Law: A Study of Multinational Supermarkets in Indian Food Supply Chains