Limits of scaling in the statistics of returns in stock market indices

J. Kertesz, L. Kullmann, K. Kimmo, J. Tolyi

Research output: Contribution to journalConference articlepeer-review

Abstract (may include machine translation)

The generally observed scaling of the return data of stock market indices is valid for small enough time resolution. We analyze the 30 years data of the Chicago SP-500 index and conclude that it could be misleading to use the simple differences of the index data instead of the logarithmic return. A simple random walk model demonstrates that growth and inflation can have an effect leading to apparent Levy type distribution. By careful analysis of the data it is argued that there the characteristic time where the Levy type behavior crosses over to a Gaussian is about one day.

Original languageEnglish
Pages (from-to)675
Number of pages1
JournalComputer Physics Communications
Volume121
DOIs
StatePublished - 1999
Externally publishedYes
EventProceedings of the 1998 Europhysics Conference on Computational Physics (CCP 1998) - Granada, Spain
Duration: 2 Sep 19985 Sep 1998

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