Are the contemporary financial fluctuations sooner converging to normal?

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dc.creatorDrozdz, S.
dc.creatorKwapien, J.
dc.creatorGruemmer, F.
dc.creatorRuf, F.
dc.creatorSpeth, J.
dc.date2002-08-12
dc.date2003-07-25
dc.date.accessioned2026-07-07T12:06:42Z
dc.date.available2026-07-07T12:06:42Z
dc.descriptionBased on the tick-by-tick price changes of the companies from the U.S. and from the German stock markets over the period 1998-99 we reanalyse several characteristics established by the Boston Group for the U.S. market in the period 1994-95, which serves to verify their space and time-translational invariance. By increasing the time scales we find a significantly more accelerated crossover from the power-law (alpha approximately 3) asymptotic behaviour of the distribution of returns towards a Gaussian, both for the U.S. as well as for the German stock markets. In the latter case the crossover is even faster. Consistently, the corresponding autocorrelation functions of returns and of the time averaged volatility also indicate a faster loss of memory with increasing time. This route towards efficiency may reflect a systematic increase of the information processing when going from past to present.
dc.description14 pages, revised version
dc.identifierhttps://arxiv.org/abs/cond-mat/0208240
dc.identifierhttp://arxiv.org/abs/cond-mat/0208240
dc.identifierActa Phys. Pol. B 34 (2003) 4293-4306
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208733
dc.subjectSoft Condensed Matter
dc.subjectStatistical Mechanics
dc.subjectAdaptation and Self-Organizing Systems
dc.subjectStatistical Finance
dc.titleAre the contemporary financial fluctuations sooner converging to normal?
dc.typetext

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