Utilize este identificador para referenciar este registo:
https://hdl.handle.net/10216/94844
Autor(es): | Rui Soares Gonçalves Helena Ferreira Alberto A. Pinto |
Título: | Universality in PSI20 fluctuations |
Data de publicação: | 2011 |
Resumo: | 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. |
Descrição: | 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. |
Assunto: | Matemática Mathematics |
Áreas do conhecimento: | Ciências exactas e naturais::Matemática Natural sciences::Mathematics |
URI: | https://hdl.handle.net/10216/94844 |
Fonte: | Dynamics, Games and Science I, DYNA 2008, in Honor of Maurício Peixoto and David Rand. Springer Proceedings in Mathematics |
Tipo de Documento: | Capítulo ou Parte de Livro |
Condições de Acesso: | restrictedAccess |
Aparece nas coleções: | FCUP - Capítulo ou Parte de Livro FEUP - Capítulo ou Parte de Livro |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
---|---|---|---|---|
48833.pdf Restricted Access | 461.37 kB | Adobe PDF | Request a copy from the Author(s) |
Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.