Universal Fluctuations of the S&100 Stock Index Returns

• Tipo: Artigo em Livro de Atas de Conferência Internacional
• Data: 2009

Autores

Rui Goncalves (Autor) FEUP; Alberto Pinto (Autor) FCUP

Ata de Conferência Internacional

Título: NUMERICAL ANALYSIS AND APPLIED MATHEMATICS, VOLS 1 AND 2

Páginas: 979-981

International Conference on Numerical Analysis and Applied Mathematics

Rethymno, GREECE, SEP 18-22, 2009

Indexação

ISI Proceedings

ISI Web of Knowledge - 0 Citações

Scopus - 0 Citações

Classificação Científica

FOS: Ciências exactas e naturais > Matemática

CORDIS: Ciências Físicas > Matemática > Matemática aplicada

Outras Informações

ID Authenticus: P-003-RG6

DOI: 10.1063/1.3241651

Resumo (PT): We analyze the constituents stocks of the well known Standard & Poor's 100 index (S&P100) that are traded in the NYSE and NASDAQ markets. We observe the data collapse of the histogram of the S&P100 index fluctuations to the universal non-parametric Bramwell-Holdsworth-Pinton (BHP) distribution. Since the BHP probability density function appears in several other dissimilar phenomena, our result reveals an universal feature of the stock exchange markets.

Abstract (EN): We analyze the constituents stocks of the well known Standard & Poor's 100 index (S&P100) that are traded in the NYSE and NASDAQ markets. We observe the data collapse of the histogram of the S&P100 index fluctuations to the universal non-parametric Bramwell-Holdsworth-Pinton (BHP) distribution. Since the BHP probability density function appears in several other dissimilar phenomena, our result reveals an universal feature of the stock exchange markets.

Idioma: Inglês

Tipo (Avaliação Docente): Científica