Stock market return distributions: from past to present
arXiv:0704.0664 · doi:10.1016/j.physa.2007.04.130
Abstract
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with decreasing sampling frequency. Our study is based on high-frequency recordings of the S&P500, DAX and WIG20 indices over the interval May 2004 - May 2006. Our findings suggest that dynamics of the contemporary market may differ from the one observed in the past. This effect indicates a constantly increasing efficiency of world markets.
to appear in Physica A
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