Stock market return distributions: from past to present

Details Stock market return distributions: from past to present Stock market return distributions: from past to present

2007-04-05

arxiv.org/abs/0704.0664v1

Physica A 383, 59-64 (2007)

Economy

Quantitative Finance

Statistical Finance

to appear in Physica A

Scientific paper

10.1016/j.physa.2007.04.130

We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with decreasing sampling frequency. Our study is based on high-frequency recordings of the S&P500, DAX and WIG20 indices over the interval May 2004 - May 2006. Our findings suggest that dynamics of the contemporary market may differ from the one observed in the past. This effect indicates a constantly increasing efficiency of world markets.

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