Physics – Condensed Matter – Strongly Correlated Electrons
Scientific paper
2002-11-04
Physica A 324, 303-310 (2003)
Physics
Condensed Matter
Strongly Correlated Electrons
Elsevier style (enclosed), 7.5 pages, 7 figures with 14 eps files. Submitted to Physica A, Proceedings of International Econop
Scientific paper
10.1016/S0378-4371(02)01903-9
We compare the probability distribution of returns for the three major stock-market indexes (Nasdaq, S&P500, and Dow-Jones) with an analytical formula recently derived by Dragulescu and Yakovenko for the Heston model with stochastic variance. For the period of 1982-1999, we find a very good agreement between the theory and the data for a wide range of time lags from 1 to 250 days. On the other hand, deviations start to appear when the data for 2000-2002 are included. We interpret this as a statistical evidence of the major change in the market from a positive growth rate in 1980s and 1990s to a negative rate in 2000s.
Silva Christian A.
Yakovenko Victor M.
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