Power Laws and Gaussians for Stock Market Fluctuations
Physics and Society
2009-11-11 v1 Statistical Finance
Abstract
The daily 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 long-term trends. We also model the transition to a Gaussian distribution for longer time intervals, like months instead of days.
Keywords
Cite
@article{arxiv.physics/0603173,
title = {Power Laws and Gaussians for Stock Market Fluctuations},
author = {Caglar Tuncay and Dietrich Stauffer},
journal= {arXiv preprint arXiv:physics/0603173},
year = {2009}
}
Comments
7 pages including 4 figures