Physics – Physics and Society
Scientific paper
2006-05-29
Econophysics of Stock and Other Markets (Springer, Milan, 2006) p. 24-34
Physics
Physics and Society
10 pages, 7 figures, to appear in Proceedings of International Workshop on "Econophysics of Stock Markets and Minority Games"
Scientific paper
10.1007/978-88-470-0502-0_3
The nature of fluctuations in the Indian financial market is analyzed in this paper. We have looked at the price returns of individual stocks, with tick-by-tick data from the National Stock Exchange (NSE) and daily closing price data from both NSE and the Bombay Stock Exchange (BSE), the two largest exchanges in India. We find that the price returns in Indian markets follow a fat-tailed cumulative distribution, consistent with a power law having exponent $\alpha \sim 3$, similar to that observed in developed markets. However, the distributions of trading volume and the number of trades have a different nature than that seen in the New York Stock Exchange (NYSE). Further, the price movement of different stocks are highly correlated in Indian markets.
Pan Raj Kumar
Sinha Sitabhra
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