Universality in the stock exchange

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We analyze the constituents stocks of the Dow Jones Industrial Average (DJIA30) and the Standard & Poor's 100 index (S&P100) of the NYSE stock exchange market. Surprisingly, we discover the data collapse of the histograms of the DJIA30 price fluctuations and of the S&P100 price fluctuations to the universal non-parametric Bramwell-Holdsworth-Pinton (BHP) distribution. Since the BHP probability density function appears in several other dissimilar phenomena, our result reveals an universal feature of the stock exchange market.
9 pages, 4 figures

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Statistical Finance, Data Analysis, Statistics and Probability, Physics and Society

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http://salesiana.dossiersoluciones.com/handle/123456789/223098

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0810.2508
 http://arxiv.org/abs/0810.2508

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arXiv