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UNIVERSITY OF BUCHAREST
FACULTY OF PHYSICS Guest
2024-11-22 1:38 |
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Conference: Bucharest University Faculty of Physics 2010 Meeting
Section: Theoretical Physics and Applied Mathematics
Title:
Is Power Law an Option for Bucharest Stock Market?
Authors:
Eliza-Olivia Lungu
Affiliation:
Bucharest Academy of Economic Studies
Institutul Naţional de Cercetare Ştiinţifică în Domeniul Muncii şi Protecţiei Sociale
E-mail
eliza.olivia.lungu@gmail.com
Keywords:
Econophysics; Power law distribution; Hill estimator; Fat tails; Stock market
Abstract:
Recent studies in econophysics have noticed the existence of fat tail distributions for certain financial variables, such as return and volatility. This type of type of behaviour has been observed at most of the stock markets of all over the globe, both at the indices and stocks time series. Those are several distributions that are in discussion to explain this type of compartment, most used being power law, exponential and power law with cut-off. In this paper we test the power law distribution for the Bucharest Exchange Market, using the return and volume time series. Our findings are that power law isn’t a good approximation for the return CDF, but might be a good one for the volume CDF.
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