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Stock market return distributions: from past to present | | S. Drozdz
; M. Forczek
; J. Kwapien
; P. Oswiecimka
; R. Rak
; | | Date: |
5 Apr 2007 | | Subject: | physics.soc-ph (Physics and Society); physics.data-an (Data Analysis, Statistics and Probability) | | Abstract: | We show that recent stock market fluctuations are characterized by the
cumulative distributions whose tails on short, minute time scales exhibit power
scaling with the scaling index alpha > 3 and this index tends to increase
quickly with decreasing sampling frequency. Our study is based on
high-frequency recordings of the S&P500, DAX and WIG20 indices over the
interval May 2004 - May 2006. Our findings suggest that dynamics of the
contemporary market may differ from the one observed in the past. This effect
indicates a constantly increasing efficiency of world markets. | | Source: | arXiv, arxiv.0704.0664 | | Services: | Forum | Review | PDF | Favorites | |
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