|
| | | | |
| | | |
| Stat |
Members: 3645
Articles: 2'504'585
Articles rated: 2609
24 April 2024 |
|
| | | | |
|
Article overview
| |
|
|
Uncertainty in the Fluctuations of the Price of Stocks | | G. R. Jafari
; M. Sadegh Movahed
; P. Noroozzadeh
; A. Bahraminasab
; Muhammad Sahimi
; F. Ghasemi
; M. Reza Rahimi Tabar
; | | Date: |
11 Jun 2007 | | Abstract: | We report on a study of the Tehran Price Index (TEPIX) from 2001 to 2006 as
an emerging market that has been affected by several political crises during
the recent years, and analyze the non-Gaussian probability density function
(PDF) of the log returns of the stocks’ prices. We show that while the average
of the index did not fall very much over the time period of the study, its
day-to-day fluctuations strongly increased due to the crises. Using an approach
based on multiplicative processes with a detrending procedure, we study the
scale-dependence of the non-Gaussian PDFs, and show that the temporal
dependence of their tails indicates a gradual and systematic increase in the
probability of the appearance of large increments in the returns on approaching
distinct critical time scales over which the TEPIX has exhibited maximum
uncertainty. | | Source: | arXiv, arxiv.0706.1460 | | Services: | Forum | Review | PDF | Favorites | |
|
|
No review found.
Did you like this article?
Note: answers to reviews or questions about the article must be posted in the forum section.
Authors are not allowed to review their own article. They can use the forum section.
browser Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)
|
| |
|
|
|
|
News, job offers and information for researchers and scientists:
| |
REGISTER