UNCERTAINTY IN THE FLUCTUATIONS OF THE PRICE OF STOCKS

DOI10.1142/S0129183107011662MaRDI QIDQ3500224zbMATH OpenOpenAlexFDO

Authors M. S. Movahed, P. Norouzzadeh, Muhammad Sahimi, Fatemeh Ghasemi, M. Reza Rahimi Tabar, G. R. Jafari, Alireza Bahraminasab

Publication date 3 June 2008

Published in International Journal of Modern Physics C (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0706.1460

zbMATH Keywords

stock marketnon-Gaussian distributionsCastaing equation

Mathematics Subject Classification ID

Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

Abstract: We report on a study of the Tehran Price Index (TEPIX) from 2001 to 2006 as an emerging market that has been affected by several political crises during the recent years, and analyze the non-Gaussian probability density function (PDF) of the log returns of the stocks' prices. We show that while the average of the index did not fall very much over the time period of the study, its day-to-day fluctuations strongly increased due to the crises. Using an approach based on multiplicative processes with a detrending procedure, we study the scale-dependence of the non-Gaussian PDFs, and show that the temporal dependence of their tails indicates a gradual and systematic increase in the probability of the appearance of large increments in the returns on approaching distinct critical time scales over which the TEPIX has exhibited maximum uncertainty.

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Cites work

• scientific article; zbMATH DE number 1987559 (Why is no real title available?)
• Elements for a theory of financial risks
• Velocity probability density functions of high Reynolds number turbulence

Cited in

(6)

• Universality in PSI20 fluctuations
• Application of He's homotopy perturbation method for Cauchy problem of ill-posed nonlinear diffusion equation
• scientific article; zbMATH DE number 7084710 (Why is no real title available?)
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• Markov properties of electrical discharge current fluctuations in plasma
• Financial markets with volatility uncertainty

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