Eur. Phys. J. B 3, 139-140 (1998)
https://doi.org/10.1007/s100510050292

Inverse cubic law for the distribution of stock price variations

Center for Polymer Studies and Department of Physics, Boston University Boston, MA 02215, USA

Corresponding author: ^a gopi@bu.edu

Received: 23 April 1998
Accepted: 24 April 1998
Published online: 15 May 1998

Abstract

The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the two year period January 1994 -December 1995. A sample of 40 million data points is extracted, which is substantially larger than studied hitherto. We find an asymptotic power-law behavior for the cumulative distribution with an exponent , well outside the Lévy regime .