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Uncertainty in the Fluctuations of the Price of Stocks

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Listed:
  • G. R. Jafari
  • M. Sadegh Movahed
  • P. Noroozzadeh
  • A. Bahraminasab
  • Muhammad Sahimi
  • F. Ghasemi
  • M. Reza Rahimi Tabar

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 stocks' 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. Noroozzadeh & A. Bahraminasab & Muhammad Sahimi & F. Ghasemi & M. Reza Rahimi Tabar, 2007. "Uncertainty in the Fluctuations of the Price of Stocks," Papers 0706.1460, arXiv.org.
    • Handle: RePEc:arx:papers:0706.1460
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    Cited by:

    1. Koohi Lai, Z. & Jafari, G.R., 2013. "Non-Gaussianity effects in petrophysical quantities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(20), pages 5132-5137.
    2. 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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