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Regular paths in financial markets: Investigating the Benford's law

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  • Riccioni, Jessica
  • Cerqueti, Roy

Abstract

This paper aims at verifying whenever the Benford's Law is valid in the context of global stock markets, which are here viewed as complex systems. In so doing, we pursue the scope of assessing the presence of data regularities and interpret obtained discrepancies.

Suggested Citation

  • Riccioni, Jessica & Cerqueti, Roy, 2018. "Regular paths in financial markets: Investigating the Benford's law," Chaos, Solitons & Fractals, Elsevier, vol. 107(C), pages 186-194.
    • Handle: RePEc:eee:chsofr:v:107:y:2018:i:c:p:186-194
    DOI: 10.1016/j.chaos.2018.01.008
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    References listed on IDEAS

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    1. Ausloos, Marcel & Castellano, Rosella & Cerqueti, Roy, 2016. "Regularities and discrepancies of credit default swaps: a data science approach through Benford's law," Chaos, Solitons & Fractals, Elsevier, vol. 90(C), pages 8-17.
    2. De Ceuster, Marc J. K. & Dhaene, Geert & Schatteman, Tom, 1998. "On the hypothesis of psychological barriers in stock markets and Benford's Law," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 263-279, September.
    3. Tomasz Kamil Michalski & Guillaume Stoltz, 2010. "Do countries falsify economic data strategically? Some evidence that they do," Post-Print hal-00543492, HAL.
    4. Mir, T.A., 2014. "The Benford law behavior of the religious activity data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 408(C), pages 1-9.
    5. Tam Cho, Wendy K. & Gaines, Brian J., 2007. "Breaking the (Benford) Law: Statistical Fraud Detection in Campaign Finance," The American Statistician, American Statistical Association, vol. 61, pages 218-223, August.
    6. Carrera, César, 2015. "Tracking exchange rate management in Latin America," Review of Financial Economics, Elsevier, vol. 25(C), pages 35-41.
    7. Mir, T.A., 2012. "The law of the leading digits and the world religions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 792-798.
    8. Tariq Ahmad Mir & Marcel Ausloos & Roy Cerqueti, 2014. "Benford's law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions," Papers 1410.2890, arXiv.org.
    9. Tomasz Michalski & Gilles Stoltz, 2013. "Do Countries Falsify Economic Data Strategically? Some Evidence That They Might," The Review of Economics and Statistics, MIT Press, vol. 95(2), pages 591-616, May.
    10. Holz, Carsten A., 2014. "The quality of China's GDP statistics," China Economic Review, Elsevier, vol. 30(C), pages 309-338.
    11. T. Mir, 2016. "The leading digit distribution of the worldwide illicit financial flows," Quality & Quantity: International Journal of Methodology, Springer, vol. 50(1), pages 271-281, January.
    12. Ausloos, Marcel & Cerqueti, Roy & Lupi, Claudio, 2017. "Long-range properties and data validity for hydrogeological time series: The case of the Paglia river," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 39-50.
    13. repec:bla:jfinan:v:59:y:2004:i:3:p:1259-1294 is not listed on IDEAS
    14. Ausloos, Marcel & Cerqueti, Roy & Mir, Tariq A., 2017. "Data science for assessing possible tax income manipulation: The case of Italy," Chaos, Solitons & Fractals, Elsevier, vol. 104(C), pages 238-256.
    15. Jennifer L. Juergens & Laura Lindsey, 2009. "Getting Out Early: An Analysis of Market Making Activity at the Recommending Analyst's Firm," Journal of Finance, American Finance Association, vol. 64(5), pages 2327-2359, October.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Solanki Gupta & Vivek Kumar Singh & Sumit Kumar Banshal, 2024. "Altmetric data quality analysis using Benford’s law," Scientometrics, Springer;Akadémiai Kiadó, vol. 129(7), pages 4597-4621, July.
    2. Ausloos, Marcel & Ficcadenti, Valerio & Dhesi, Gurjeet & Shakeel, Muhammad, 2021. "Benford’s laws tests on S&P500 daily closing values and the corresponding daily log-returns both point to huge non-conformity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    3. Arezzo, Maria Felice & Cerqueti, Roy, 2023. "A Benford’s Law view of inspections’ reasonability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 632(P1).
    4. Wang, Delu & Chen, Fan & Mao, Jinqi & Liu, Nannan & Rong, Fangyu, 2022. "Are the official national data credible? Empirical evidence from statistics quality evaluation of China's coal and its downstream industries," Energy Economics, Elsevier, vol. 114(C).
    5. Bogdan Vasile Ileanu & Marcel Ausloos & Claudiu Herteliu & Marian Pompiliu Cristescu, 2019. "Intriguing behavior when testing the impact of quotation marks usage in Google search results," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(5), pages 2507-2519, September.
    6. Herteliu, Claudiu & Jianu, Ionel & Dragan, Irina Maria & Apostu, Simona & Luchian, Iuliana, 2021. "Testing Benford’s Laws (non)conformity within disclosed companies’ financial statements among hospitality industry in Romania," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
    7. Roy Cerqueti & Claudio Lupi, 2021. "Some New Tests of Conformity with Benford’s Law," Stats, MDPI, vol. 4(3), pages 1-17, September.
    8. Cerqueti, Roy & Maggi, Mario, 2021. "Data validity and statistical conformity with Benford’s Law," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).

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