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Power law for ensembles of stock prices

By Taisei Kaizoji A and Michiyo Kaizoji B

Abstract

In this paper we investigate quantitatively statistical properties of ensemble of stock prices, which no other studies have so far done. We select 1200 stocks traded in the Tokyo Stock Exchange and form a statistical ensemble of daily stock prices for each of the trading days. We found that the tail of the cumulative distribution of ensembles of stock prices is accurately described by a power-law distribution

Topics: Key words, econophysics, power law, ensemble distribution PACS, 89.90.+n, 05.40.-a
Year: 2003
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