Power law for ensembles of stock prices
Statistical Mechanics
2013-09-11 v2 Physics and Society
Statistical Finance
Abstract
In this paper we quantitatively investigate the statistical properties of an ensemble of {\it stock prices}. We selected 1200 stocks traded in the Tokyo Stock Exchange and formed a statistical ensemble of daily stock prices for each trading day in the 5 year period from January 4, 1988 to December 30, 1992. We found that the tail of the complementary cumulative distribution function of the ensembles is accurately described by a power-law distribution with an exponent that moves in the range of .
Keywords
Cite
@article{arxiv.cond-mat/0312406,
title = {Power law for ensembles of stock prices},
author = {Taisei Kaizoji and Michiyo Kaizoji},
journal= {arXiv preprint arXiv:cond-mat/0312406},
year = {2013}
}
Comments
4 pages, 1 figure