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Power law for ensembles of stock prices

Taisei Kaizoji·Michiyo Kaizoji
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Abstract

In this paper we quantitatively investigate the statistical properties of an ensemble of {\it stock prices}. We selected 1200 stocks traded in the Tokyo Stock Exchange and formed a statistical ensemble of daily stock prices for each trading day in the 5 year period from January 4, 1988 to December 30, 1992. We found that the tail of the complementary cumulative distribution function of the ensembles is accurately described by a power-law distribution with an exponent that moves in the range of $ 1.7 < α< 2.2 $.

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Taisei Kaizoji, Michiyo Kaizoji. 2006-03-17. Power law for ensembles of stock prices. https://doi.org/10.1016/j.physa.2004.06.125

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