Universal fluctuations of the AEX index

• Type: Article in International Scientific Journal
• Date: 2010

Authors

Rui Gonçalves (Author) FEUP; Helena Ferreira (Author) Other; Nico Stollenwerk (Author) Other; Alberto Adrego Pinto (Author) FCUP

Journal

Title: Physica A: Statistical Mechanics and its Applications

Vol. 389 No. 21

Pages: 4776-4784

ISSN: 0378-4371

Publisher: Elsevier

Indexing

ISI Web of Knowledge - 2 Citations

ISI Web of Science

Scopus - 4 Citations

COMPENDEX

Scientific classification

FOS: Natural sciences > Physical sciences

CORDIS: Physical sciences > Mathematics > Statistics

Other information

Authenticus ID: P-003-1PC

DOI: 10.1016/j.physa.2010.06.012

Abstract (EN): We compute the analytic expression of the probability distributions F(AEX,+) and F(AEX,-) of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the alpha re-scaled AEX daily index positive returns r(t)(alpha) and negative returns (-r(t))(alpha), which we call, after normalization, the alpha positive fluctuations and alpha negative fluctuations. 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 alpha fluctuations with the Bramwell-Holdsworth-Pinton (BHP) probability density function. The optimal parameters that we found are alpha(+) = 0.46 and alpha(-) = 0.43. Since the BHP probability density function appears in several other dissimilar phenomena, our result reveals a universal feature of stock exchange markets.

Language: English

Type (Professor's evaluation): Scientific