Alternation of different fluctuation regimes in the stock market dynamics

Details Alternation of different fluctuation regimes in the stock market dynamics Alternation of different fluctuation regimes in the stock market dynamics

2003-06-24

arxiv.org/abs/cond-mat/0306608v1

Physica A 330 (2003) 605-621

Physics

Condensed Matter

Soft Condensed Matter

19 pages

Scientific paper

Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading, separately. We show that periods characterized by the strong inter-stock couplings can be associated with the distributions of index fluctuations which reveal more pronounced tails than in the case of weaker couplings in the market. During periods of strong correlations in the German market these distributions can even reveal an apparent L\'evy-stable component.

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