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Truncated Levy distribution of SP500 stock index fluctuations. Distribution of one-share fluctuations in a model space

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  • Romanovsky, M.Yu.

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).

Suggested Citation

  • Romanovsky, M.Yu., 2000. "Truncated Levy distribution of SP500 stock index fluctuations. Distribution of one-share fluctuations in a model space," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 450-460.
    • Handle: RePEc:eee:phsmap:v:287:y:2000:i:3:p:450-460
    DOI: 10.1016/S0378-4371(00)00384-8
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    Cited by:

    1. Romanovsky, M.Yu. & Vidov, P.V., 2011. "Analytical representation of stock and stock-indexes returns: Non-Gaussian random walks with various jump laws," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3794-3805.

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