Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact

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dc.creatorSilva, A. Christian
dc.creatorPrange, Richard E.
dc.creatorYakovenko, Victor M.
dc.date2004-01-14
dc.date2004-07-25
dc.date.accessioned2026-07-07T12:06:52Z
dc.date.available2026-07-07T12:06:52Z
dc.descriptionWe study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times the bulk of the distribution (more than 99% of the probability) follows an exponential law. The slope of the exponential function is determined by the variance of returns, which increases proportionally to the time lag. At longer times, the exponential law continuously evolves into Gaussian distribution. The exponential-to-Gaussian crossover is well described by the analytical solution of the Heston model with stochastic volatility.
dc.description7 pages, 12 plots, elsart.cls, submitted to the Proceedings of APFA-4. V.2: updated references
dc.identifierhttps://arxiv.org/abs/cond-mat/0401225
dc.identifierhttp://arxiv.org/abs/cond-mat/0401225
dc.identifierPhysica A 344, 227-235 (2004)
dc.identifierdoi:10.1016/j.physa.2004.06.122
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208781
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleExponential distribution of financial returns at mesoscopic time lags: a new stylized fact
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