TY - JOUR
T1 - Break-down of scaling and convergence to Gaussian distribution in stock market data
AU - Kullmann, L
AU - Töyli, J
AU - Kertész, János
AU - Kanto, A
AU - Kaski, K
PY - 2000
Y1 - 2000
N2 - We analyze the Standard and Poor's 500 index data of the New York Stock Exchange for more than 32 years. It was suggested earlier that the high frequency data are well described by a truncated Lévy distribution and scaling with respect to the sampling time differences was found. The truncated character of the distribution implies that scaling must break down and that the distribution ultimately converges to a Gaussian. We show by comparing Lévy and Gaussian fits that the characteristic time of the break-down of scaling is of the order of few days. The analysis of the dependence of the kurtosis on the time differences shows that this is much shorter than the time needed for the convergence to the Gaussian being of the order of months.
AB - We analyze the Standard and Poor's 500 index data of the New York Stock Exchange for more than 32 years. It was suggested earlier that the high frequency data are well described by a truncated Lévy distribution and scaling with respect to the sampling time differences was found. The truncated character of the distribution implies that scaling must break down and that the distribution ultimately converges to a Gaussian. We show by comparing Lévy and Gaussian fits that the characteristic time of the break-down of scaling is of the order of few days. The analysis of the dependence of the kurtosis on the time differences shows that this is much shorter than the time needed for the convergence to the Gaussian being of the order of months.
UR - https://m2.mtmt.hu/api/publication/1029244
U2 - 10.1142/S021902490000022X
DO - 10.1142/S021902490000022X
M3 - Article
SN - 0020-7748
VL - 3
SP - 371
EP - 373
JO - INTERNATIONAL JOURNAL OF THEORETICAL PHYSICS
JF - INTERNATIONAL JOURNAL OF THEORETICAL PHYSICS
IS - 3
ER -