Please use this identifier to cite or link to this item:
https://hdl.handle.net/10216/97380
Author(s): | Rui Gonçalves Helena Ferreira Nico Stollenwerk Alberto Adrego Pinto |
Title: | Universal fluctuations of the AEX index |
Issue Date: | 2010 |
Abstract: | 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. |
Subject: | Estatística, Física Statistics, Physical sciences |
Scientific areas: | Ciências exactas e naturais::Física Natural sciences::Physical sciences |
URI: | https://repositorio-aberto.up.pt/handle/10216/97380 |
Document Type: | Artigo em Revista Científica Internacional |
Rights: | restrictedAccess |
Appears in Collections: | FCUP - Artigo em Revista Científica Internacional FEUP - Artigo em Revista Científica Internacional |
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63500.pdf Restricted Access | 449.16 kB | Adobe PDF | Request a copy from the Author(s) |
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