Universality in PSI20 fluctuations

• Type: Article in International Conference Proceedings Book
• Date: 2011

Authors

Rui Jorge Gonçalves (Author) FEUP; Ferreira, H (Author) Other; Alberto A. Pinto (Author) FCUP

Conference proceedings International

Title: DYNAMICS, GAMES AND SCIENCE I

Pages: 405-420

International Conference on Dynamical Systems and Game Theory in Honor of Mauricio Peixoto and David Rand

Univ Minho, Braga, PORTUGAL, SEP 08-12, 2008

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ISI Web of Knowledge - 0 Citations

Scopus - 1 Citation

Other information

Authenticus ID: P-00P-6E9

DOI: 10.1007/978-3-642-11456-4-28

Abstract (EN): We consider the. re-scaled PSI20 daily index positive returns r(t)(alpha) and negative returns (-r(t))(alpha) called, after normalization, the. positive and negative fluctuations, respectively. We use the Kolmogorov-Smirnov statistical test as a method to find the values of alpha that optimize the data collapse of the histogram of the. fluctuations with the truncated Bramwell-Holdsworth-Pinton (BHP) probability density function (pdf) fBHP and the truncated generalized log-normal pdf fLN that best approximates the truncated BHP pdf. The optimal parameters we found are alpha(+)(BHP) = 0.48, alpha(-)(BHP) = 0.46, alpha(+)(LN) = 0.50 and alpha(-)(LN) = 0.49. Using the optimal alpha's we compute the analytical approximations of the pdf of the normalized positive and negative PSI20 index daily returns r(t). Since the BHP probability density function appears in several other dissimilar phenomena, our result reveals a universal feature of the stock exchange markets.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 16