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https://hdl.handle.net/10216/97899| Author(s): | Rui Gonçalves Alberto A. Pinto |
| Title: | Universal Fluctuations of the S&P100 Stock Index Returns |
| Issue Date: | 2009 |
| Abstract: | We analyze the constituents stocks of the well known Standard & Poor's 100 index (S&P100) that are traded in the NYSE and NASDAQ markets. We observe the data collapse of the histogram of the S&P100 index fluctuations to the universal non-parametric Bramwell-Holdsworth-Pinton (BHP) distribution. Since the BHP probability density function appears in several other dissimilar phenomena, our result reveals an universal feature of the stock exchange markets. |
| Description: | We analyze the constituents stocks of the well known Standard & Poor's 100 index (S&P100) that are traded in the NYSE and NASDAQ markets. We observe the data collapse of the histogram of the S&P100 index fluctuations to the universal non-parametric Bramwell-Holdsworth-Pinton (BHP) distribution. Since the BHP probability density function appears in several other dissimilar phenomena, our result reveals an universal feature of the stock exchange markets. |
| Subject: | Matemática Mathematics |
| Scientific areas: | Ciências exactas e naturais::Matemática Natural sciences::Mathematics |
| URI: | https://hdl.handle.net/10216/97899 |
| Source: | 7th International Conference on Numerical Analysis and Applied Mathematics 2009 (ICNAAM 2009) |
| Document Type: | Artigo em Livro de Atas de Conferência Internacional |
| Rights: | restrictedAccess |
| Appears in Collections: | FCUP - Artigo em Livro de Atas de Conferência Internacional |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| 48734.pdf Restricted Access | 209.29 kB | Adobe PDF | View/Open |
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