Nonextensive statistical features of the Polish stock market fluctuations

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dc.creatorRak, R.
dc.creatorDrozdz, S.
dc.creatorKwapien, J.
dc.date2006-03-09
dc.date2006-11-29
dc.date.accessioned2026-07-07T12:17:04Z
dc.date.available2026-07-07T12:17:04Z
dc.descriptionThe statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here we present a systematic study of such characteristics for the Polish stock market index WIG20 over the period 04.01.1999 - 31.10.2005 for the time lags ranging from one minute up to one hour. This market is commonly classified as emerging. Still on the shortest time scales studied we find that the tails of the return distributions are consistent with the inverse cubic power-law, as identified previously for majority of the mature markets. Within the time scales studied a quick and considerable departure from this law towards a Gaussian can however be traced. Interestingly, all the forms of the distributions observed can be comprised by the single $q$-Gaussians which provide a satisfactory and at the same time compact representation of the distribution of return fluctuations over all magnitudes of their variation. The corresponding nonextensivity parameter $q$ is found to systematically decrease when increasing the time scales.
dc.description14 pages. Physica A in print
dc.identifierhttps://arxiv.org/abs/physics/0603071
dc.identifierhttp://arxiv.org/abs/physics/0603071
dc.identifierPhysicaA374:315-324,2007
dc.identifierdoi:10.1016/j.physa.2006.07.035
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/212001
dc.subjectData Analysis, Statistics and Probability
dc.subjectAstrophysics
dc.subjectStatistical Mechanics
dc.subjectComputational Physics
dc.subjectStatistical Finance
dc.titleNonextensive statistical features of the Polish stock market fluctuations
dc.typetext

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