Inverse cubic law of index fluctuation distribution in Indian markets

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dc.creatorPan, Raj Kumar
dc.creatorSinha, Sitabhra
dc.date2006-07-03
dc.date2007-12-19
dc.date.accessioned2026-07-07T12:07:46Z
dc.date.available2026-07-07T12:07:46Z
dc.descriptionOne of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets, e.g., the New York Stock Exchange (NYSE) have been found to show heavy-tailed return distribution with a characteristic power-law exponent, the universality of such behavior has been debated, particularly in regard to emerging markets. Here we investigate the distribution of several indices from the Indian financial market, one of the largest emerging markets in the world. We have used tick-by-tick data from the National Stock Exchange (NSE), as well as, daily closing data from both NSE and Bombay Stock Exchange (BSE). We find that the cumulative distributions of index returns have long tails consistent with a power-law having exponent α\approx 3, at time-scales of both 1 min and 1 day. This ``inverse cubic law'' is quantitatively similar to what has been observed in developed markets, thereby providing strong evidence of universality in the behavior of market fluctuations.
dc.description8 pages, 6 figures, final version, to appear in Physica A, 1 figure added, appendix elongated to describe TE statistics
dc.identifierhttps://arxiv.org/abs/physics/0607014
dc.identifierhttp://arxiv.org/abs/physics/0607014
dc.identifierPhysica A, 387 (2008) 2055-2065
dc.identifierdoi:10.1016/j.physa.2007.11.031
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209089
dc.subjectPhysics and Society
dc.subjectOther Condensed Matter
dc.subjectStatistical Finance
dc.titleInverse cubic law of index fluctuation distribution in Indian markets
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