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Quantifying price fluctuations in the Brazilian stock market

Author

Listed:
  • Tabak, B.M.
  • Takami, M.Y.
  • Cajueiro, D.O.
  • Petitinga, A.

Abstract

This paper investigates price fluctuations in the Brazilian stock market. We employ a recently developed methodology to test whether the Brazilian stock price returns present a power law distribution and find that we cannot reject such behavior. Empirical results for sub-partitions of the time series suggests that for most of the time the power law is not rejected, but that in some cases the data set does not conform with a power law distribution.

Suggested Citation

  • Tabak, B.M. & Takami, M.Y. & Cajueiro, D.O. & Petitinga, A., 2009. "Quantifying price fluctuations in the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(1), pages 59-62.
    • Handle: RePEc:eee:phsmap:v:388:y:2009:i:1:p:59-62
    DOI: 10.1016/j.physa.2008.09.028
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    References listed on IDEAS

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    6. Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2014. "Stylized facts of price gaps in limit order books: Evidence from Chinese stocks," Papers 1405.1247, arXiv.org.

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