Gambling on the Budapest stock exchange
Department of Physics of Complex Systems, Eötvös University, PO Box 32, 1518 Budapest, Hungary
John von Neumann Institut für Computing (NIC), Forschungszentrum Jülich, 52425 Jülich, Germany
Published online: 15 September 2000
The statistical properties of the total yield are analyzed for an assembly of gamblers in an erratic period on the Budapest stock exchange. Random trading results in a log-normal limit distribution of a surprisingly large width, while the simplest profit realizing strategy narrows down the peak around a positive average value. The effect of transaction costs, the statistics of extremes, and patterns of successful trading are also investigated. In spite of the very simple approach, we present strong indications that large trading activity (e.g. day trading) is a rather risky way of capital investment. A comparison with the yield distribution of 32 public investment funds in the given period does not reflect the presence of a sophisticated investment strategy in the background.
PACS: 02.50.-r – Probability theory, stochastic processes, and statistics / 89.90.+n – Other topics of general interest to physicists
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2000