Power laws and Gaussians for stock market fluctuations

被引：6
|
作者：
Tuncay, Caglar [1 ]
Stauffer, Dietrich [1 ]
机构：
[1] Middle E Tech Univ, Dept Phys, TR-06531 Ankara, Turkey
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2007年 / 374卷 / 01期
关键词：
fat tails; normal distribution; Pareto distribution;
D O I：
10.1016/j.physa.2006.07.012
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
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. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码：325 / 330
页数：6
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