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Universal fluctuations of the AEX index

Author

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  • Gonçalves, Rui
  • Ferreira, Helena
  • Stollenwerk, Nico
  • Pinto, Alberto Adrego

Abstract

We compute the analytic expression of the probability distributions FAEX,+ and FAEX,− of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the α re-scaled AEX daily index positive returns r(t)α and negative returns (−r(t))α, which we call, after normalization, the α positive fluctuations and α negative fluctuations. We use the Kolmogorov–Smirnov statistical test as a method to find the values of α that optimize the data collapse of the histogram of the α fluctuations with the Bramwell–Holdsworth–Pinton (BHP) probability density function. The optimal parameters that we found are α+=0.46 and α−=0.43. Since the BHP probability density function appears in several other dissimilar phenomena, our result reveals a universal feature of stock exchange markets.

Suggested Citation

  • Gonçalves, Rui & Ferreira, Helena & Stollenwerk, Nico & Pinto, Alberto Adrego, 2010. "Universal fluctuations of the AEX index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4776-4784.
    • Handle: RePEc:eee:phsmap:v:389:y:2010:i:21:p:4776-4784
    DOI: 10.1016/j.physa.2010.06.012
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    References listed on IDEAS

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