Quantifying Stock Return Distributions in Financial Markets.
Quantifying Stock Return Distributions in Financial Markets.
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量化金融市场中的股票收益分配。
DOI：
10.1371/journal.pone.0135600
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发表时间：
2015
期刊：
影响因子：
3.7
通讯作者：
Preis T
中科院分区：
文献类型：
--
作者：
Botta F;Moat HS;Stanley HE;Preis T
能够量化股票市场价格大幅变动的概率对于理解影响全球人民生活的金融危机至关重要。股票市场价格的巨大变化可能在几分钟内突然出现，也可能在更长的时间尺度上发展。在这里，我们分析了一个数据集，包括股票形成道琼斯工业平均指数在第二次由第二分辨率在2008年1月至2010年7月期间，以量化的市场价格的变化分布在一系列的时间尺度。我们发现，对数价格变化或回报的分布的尾部，表现出幂律衰减的时间尺度从300秒到3600秒。对于更大的时间尺度，我们发现分布的尾部呈现指数衰减。我们的研究结果可以为不同时间尺度的市场行为模型的发展提供信息。
Being able to quantify the probability of large price changes in stock markets is of crucial importance in understanding financial crises that affect the lives of people worldwide. Large changes in stock market prices can arise abruptly, within a matter of minutes, or develop across much longer time scales. Here, we analyze a dataset comprising the stocks forming the Dow Jones Industrial Average at a second by second resolution in the period from January 2008 to July 2010 in order to quantify the distribution of changes in market prices at a range of time scales. We find that the tails of the distributions of logarithmic price changes, or returns, exhibit power law decays for time scales ranging from 300 seconds to 3600 seconds. For larger time scales, we find that the distributions tails exhibit exponential decay. Our findings may inform the development of models of market behavior across varying time scales.