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arXiv · cond-mat/0306608

Alternation of different fluctuation regimes in the stock market dynamics

J. Kwapien·S. Drozdz·J. Speth
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Abstract

Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading, separately. We show that periods characterized by the strong inter-stock couplings can be associated with the distributions of index fluctuations which reveal more pronounced tails than in the case of weaker couplings in the market. During periods of strong correlations in the German market these distributions can even reveal an apparent Lévy-stable component.

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J. Kwapien, S. Drozdz, J. Speth. 2003-06-24. Alternation of different fluctuation regimes in the stock market dynamics. https://doi.org/10.1016/j.physa.2003.09.012

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