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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
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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