Universal fluctuations of the AEX index

作者：Goncalves Rui; Ferreira Helena^*; Stollenwerk Nico; Pinto Alberto Adrego

来源：Physica A: Statistical Mechanics and Its Applications , 2010, 389(21): 4776-4784.

DOI：10.1016/j.physa.2010.06.012

• Econophysics
• Interdisciplinary
• Statistics
• Financial market
• BHP
• Universal fluctuations

We compute the analytic expression of the probability distributions F(AEX,+) and F(AEX,-) of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the alpha re-scaled AEX daily index positive returns r(t)(alpha) and negative returns (-r(t))(alpha), which we call, after normalization, the alpha positive fluctuations and alpha negative fluctuations. We use the Kolmogorov-Smirnov statistical test as a method to find the values of alpha that optimize the data collapse of the histogram of the alpha fluctuations with the Bramwell-Holdsworth-Pinton (BHP) probability density function. The optimal parameters that we found are alpha(+) = 0.46 and alpha(-) = 0.43. Since the BHP probability density function appears in several other dissimilar phenomena, our result reveals a universal feature of stock exchange markets.

• 出版日期2010-11-1