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Universal Fluctuations of the S&100 Stock Index Returns

Title
Universal Fluctuations of the S&100 Stock Index Returns
Type
Article in International Conference Proceedings Book
Year
2009
Authors
Rui Goncalves
(Author)
FEUP
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Conference proceedings International
Pages: 979-981
International Conference on Numerical Analysis and Applied Mathematics
Rethymno, GREECE, SEP 18-22, 2009
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Publicação em ISI Proceedings ISI Proceedings
Publicação em ISI Web of Knowledge ISI Web of Knowledge - 0 Citations
Publicação em Scopus Scopus - 0 Citations
Scientific classification
FOS: Natural sciences > Mathematics
CORDIS: Physical sciences > Mathematics > Applied mathematics
Other information
Authenticus ID: P-003-RG6
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.
Language: English
Type (Professor's evaluation): Scientific
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