NDLI: Quantifying Stock Return Distributions in Financial Markets

Content Provider	PubMed Central
Author	Botta, Federico Moat, Helen Susannah Stanley, H. Eugene Preis, Tobias
Editor	Chen, Yanguang
Copyright Year	2015
Abstract	Being able to quantify the probability of large price changes in stock markets is of crucial importance in understanding financial crises that affect the lives of people worldwide. Large changes in stock market prices can arise abruptly, within a matter of minutes, or develop across much longer time scales. Here, we analyze a dataset comprising the stocks forming the Dow Jones Industrial Average at a second by second resolution in the period from January 2008 to July 2010 in order to quantify the distribution of changes in market prices at a range of time scales. We find that the tails of the distributions of logarithmic price changes, or returns, exhibit power law decays for time scales ranging from 300 seconds to 3600 seconds. For larger time scales, we find that the distributions tails exhibit exponential decay. Our findings may inform the development of models of market behavior across varying time scales.
Related Links	http://dx.doi.org/10.1371/journal.pone.0135600
Starting Page	135600
File Format	PDF
ISSN	19326203
e-ISSN	19326203
Journal	PLoS ONE
Issue Number	9
Volume Number	10
Language	English
Publisher	Public Library of Science
Publisher Date	2015-09-01
Access Restriction	Open
Rights Holder	Public Library of Science
Subject Keyword	Biochemistry, Genetics and Molecular Biology(all) Agricultural and Biological Sciences(all) Medicine(all) Research in Higher Education
Content Type	Text
Resource Type	Article
Subject	Multidisciplinary

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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