Stock market return distributions: From past to present

• DOI: 10.1016/j.physa.2007.04.130
• Publication Date: 2007-05-24T07:45:12Z
• Authors: S. Drożdż; M. Forczek; J. Kwapień; P. Oświe¸cimka; R. Rak
• Keywords: FOS: Economics and business; Physics - Physics and Society; Statistical Finance (q-fin.ST); Physics - Data Analysis, Statistics and Probability; 0502 economics and business; 05 social sciences; Quantitative Finance - Statistical Finance; FOS: Physical sciences; Physics and Society (physics.soc-ph); Data Analysis, Statistics and Probability (physics.data-an)

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.<br/>to appear in Physica A<br/>