Universal Fluctuations of the S&100 Stock Index Returns

• Type: Article in International Conference Proceedings Book
• Date: 2009

Authors

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

Conference proceedings International

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

Pages: 979-981

International Conference on Numerical Analysis and Applied Mathematics

Rethymno, GREECE, SEP 18-22, 2009

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Scientific classification

FOS: Natural sciences > Mathematics

CORDIS: Physical sciences > Mathematics > Applied mathematics

Other information

Authenticus ID: 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.

Language: English

Type (Professor's evaluation): Scientific