Uncertainty in the Fluctuations of the Price of Stocks

Details Uncertainty in the Fluctuations of the Price of Stocks Uncertainty in the Fluctuations of the Price of Stocks

2007-06-11

arxiv.org/abs/0706.1460v1

Economy

Quantitative Finance

Statistical Finance

5 pages, 5 figures. Accepted to appear in IJMPC

Scientific paper

10.1142/S0129183107011662

We report on a study of the Tehran Price Index (TEPIX) from 2001 to 2006 as an emerging market that has been affected by several political crises during the recent years, and analyze the non-Gaussian probability density function (PDF) of the log returns of the stocks' prices. We show that while the average of the index did not fall very much over the time period of the study, its day-to-day fluctuations strongly increased due to the crises. Using an approach based on multiplicative processes with a detrending procedure, we study the scale-dependence of the non-Gaussian PDFs, and show that the temporal dependence of their tails indicates a gradual and systematic increase in the probability of the appearance of large increments in the returns on approaching distinct critical time scales over which the TEPIX has exhibited maximum uncertainty.

Affiliated with

Also associated with

No associations

Rating

Uncertainty in the Fluctuations of the Price of Stocks does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Uncertainty in the Fluctuations of the Price of Stocks, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Uncertainty in the Fluctuations of the Price of Stocks will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-179310