Please use this identifier to cite or link to this item: https://hdl.handle.net/10216/94844
Author(s): Rui Soares Gonçalves
Helena Ferreira
Alberto A. Pinto
Title: Universality in PSI20 fluctuations
Issue Date: 2011
Abstract: We consider the α re-scaled PSI20 daily index positive returns r(t)α and negative returns ( − r(t))α called, after normalization, the α positive and negative fluctuations, respectively. We use the Kolmogorov-Smirnov statistical test as a method to find the values of α that optimize the data collapse of the histogram of the α fluctuations with the truncated Bramwell-Holdsworth-Pinton (BHP) probability density function (pdf) f { BHP} and the truncated generalized log-normal pdf f LN that best approximates the truncated BHP pdf. The optimal parameters we found are α { BHP}_+  = 0. 48, α { BHP}_−  = 0. 46, α LN  +  = 0. 50 and α LN  −  = 0. 49. Using the optimal α′s we compute analytic approximations of the probability distributions 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.
Description: We consider the α re-scaled PSI20 daily index positive returns r(t)α and negative returns ( − r(t))α called, after normalization, the α positive and negative fluctuations, respectively. We use the Kolmogorov-Smirnov statistical test as a method to find the values of α that optimize the data collapse of the histogram of the α fluctuations with the truncated Bramwell-Holdsworth-Pinton (BHP) probability density function (pdf) f { BHP} and the truncated generalized log-normal pdf f LN that best approximates the truncated BHP pdf. The optimal parameters we found are α { BHP}_+  = 0. 48, α { BHP}_−  = 0. 46, α LN  +  = 0. 50 and α LN  −  = 0. 49. Using the optimal α′s we compute analytic approximations of the probability distributions 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.
Subject: Matemática
Mathematics
Scientific areas: Ciências exactas e naturais::Matemática
Natural sciences::Mathematics
URI: https://repositorio-aberto.up.pt/handle/10216/94844
Source: Dynamics, Games and Science I, DYNA 2008, in Honor of Maurício Peixoto and David Rand. Springer Proceedings in Mathematics
Document Type: Capítulo ou Parte de Livro
Rights: restrictedAccess
Appears in Collections:FCUP - Capítulo ou Parte de Livro
FEUP - Capítulo ou Parte de Livro

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