2008/10/14 by Rui Gonçalves, Gonçalves, Rui, Alberto Pinto +1
Economics, Econometrics and Finance · Physics and Astronomy · #Data Analysis #FOS: Economics and business #FOS: Physical sciences #Physics and Society (physics.soc-ph) #Statistical Finance (q-fin.ST) #Statistics and Probability (physics.data-an) #physics.data-an #physics.soc-ph #q-fin.ST
paper · pdf · doi:10.48550/arxiv.0810.2508
9 pages, 4 figures
arxiv created 2009/03/13 · arxiv updated 2009/12/01
We analyze the constituents stocks of the Dow Jones Industrial Average (DJIA30) and the Standard & Poor's 100 index (S&P100) of the NYSE stock exchange market. Surprisingly, we discover the data collapse of the histograms of the DJIA30 price fluctuations and of the S&P100 price fluctuations to the universal non-parametric Bramwell-Holdsworth-Pinton (BHP) distribution. Since the BHP probability density function appears in several other dissimilar phenomena, our result reveals an universal feature of the stock exchange market.