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Power laws and Gaussians for stock market fluctuations

Author

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  • Tuncay, Çağlar
  • Stauffer, Dietrich

Abstract

The daily financial volume of transaction on the New York Stock Exchange and its day-to-day fluctuations are analysed with respect to power-law tails as well to their long-term trends. We also model the transition to a Gaussian distribution for longer time intervals, like months instead of days.

Suggested Citation

  • Tuncay, Çağlar & Stauffer, Dietrich, 2007. "Power laws and Gaussians for stock market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 374(1), pages 325-330.
    • Handle: RePEc:eee:phsmap:v:374:y:2007:i:1:p:325-330
    DOI: 10.1016/j.physa.2006.07.012
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    Cited by:

    1. Stijn De Backer & Luis E. C. Rocha & Jan Ryckebusch & Koen Schoors, 2024. "On the potential of quantum walks for modeling financial return distributions," Papers 2403.19502, arXiv.org, revised Dec 2024.

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