Universality in the stock exchange
Statistical Finance
2009-03-13 v2 Data Analysis, Statistics and Probability
Physics and Society
Abstract
We analyze the constituents stocks of the Dow Jones Industrial Average (DJIA30) and the Standard & Poor's 100 index (S&P100) of the NYSE stock exchange market. Surprisingly, we discover the data collapse of the histograms of the DJIA30 price fluctuations and of the S&P100 price fluctuations to the universal non-parametric Bramwell-Holdsworth-Pinton (BHP) distribution. Since the BHP probability density function appears in several other dissimilar phenomena, our result reveals an universal feature of the stock exchange market.
Keywords
Cite
@article{arxiv.0810.2508,
title = {Universality in the stock exchange},
author = {Rui Gonçalves and Alberto Pinto},
journal= {arXiv preprint arXiv:0810.2508},
year = {2009}
}
Comments
9 pages, 4 figures