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Uncertainty In The Fluctuations Of The Price Of Stocks

Author

Listed:
  • G. R. JAFARI

    (Department of Physics, Shahid Beheshti University, Tehran 19839, Iran)

  • M. SADEGH MOVAHED

    (Department of Physics, Shahid Beheshti University, Tehran 19839, Iran)

  • P. NOROUZZADEH

    (Department of Physics, University of Antwerp, Groenenborgerlaan 171, B-2020 Antwerpen, Belgium)

  • A. BAHRAMINASAB

    (Physics Department, University of Lancaster, Lancaster, LA1 4YB, United Kingdom)

  • MUHAMMAD SAHIMI

    (Mork Family Department of Chemical Engineering & Materials Science, University of Southern California, Los Angeles, California 90089-1211, USA)

  • F. GHASEMI

    (The Max Planck Institute for the Physics of Complex Systems, Nthnitzer Strasse 38, 01187 Dresden, Germany)

  • M. REZA RAHIMI TABAR

    (Department of Physics, Sharif University of Technology, Tehran 11365-9161, Iran;
    CNRS UMR 6202, Observatoire de la Côte d'Azur, BP 4229, 06304 Nice Cedex 4, France)

Abstract

We report on a study of the Tehran Price Index (TEPIX) from 2001 to 2006 as an emerging market that has been affected by several political crises during the recent years, and analyze the non-Gaussian probability density function (PDF) of the log returns of the stock prices. We show that while the average of the index did not fall very much over the time period of the study, its day-to-day fluctuations strongly increased due to the crises. Using an approach based on multiplicative processes with a detrending procedure, we study the scale-dependence of the non-Gaussian PDFs, and show that the temporal dependence of their tails indicates a gradual and systematic increase in the probability of the appearance of large increments in the returns on approaching distinct critical time scales over which the TEPIX has exhibited maximum uncertainty.

Suggested Citation

  • G. R. Jafari & M. Sadegh Movahed & P. Norouzzadeh & A. Bahraminasab & Muhammad Sahimi & F. Ghasemi & M. Reza Rahimi Tabar, 2007. "Uncertainty In The Fluctuations Of The Price Of Stocks," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 18(11), pages 1689-1697.
    • Handle: RePEc:wsi:ijmpcx:v:18:y:2007:i:11:n:s0129183107011662
    DOI: 10.1142/S0129183107011662
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    References listed on IDEAS

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    1. -, 2000. "Introdução à técnica de planejamento," Copublicaciones, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), number 1617.
    2. Vahabi, M. & Jafari, G.R., 2007. "Capability of markets to accept a new stock," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(2), pages 583-590.
    3. van Damme, E.E.C., 2000. "Nobelprijs voor nuttige econometrie," Other publications TiSEM 88c2ad26-cefa-4176-bdc7-b, Tilburg University, School of Economics and Management.
    4. van Damme, E.E.C., 2000. "Eerlijk delen," Other publications TiSEM b25da10f-89fc-48b6-866a-d, Tilburg University, School of Economics and Management.
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    Cited by:

    1. Reza Hosseini & Samin Tajik & Zahra Koohi Lai & Tayeb Jamali & Emmanuel Haven & G. Reza Jafari, 2022. "Quantum Bohmian Inspired Potential to Model Non-Gaussian Events and the Application in Financial Markets," Papers 2204.11203, arXiv.org.

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