2002/11/05 by A. Christian Silva, A.Christian Silva, Victor M. Yakovenko · 3 citations
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #cond-mat.str-el
paper · pdf · doi:10.1016/s0378-4371(02)01903-9
published as Physica A 324, 303-310 (2003) · Elsevier style (enclosed), 7.5 pages, 7 figures with 14 eps files. Submitted to Physica A, Proceedings of International Econophysics Conference in Bali, 28-31 August 2002
arxiv created 2002/11/05 · openalex publication_date 2003/05/01 · arxiv updated 2009/11/30 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28
We compare the probability distribution of returns for the three major stock-market indexes (Nasdaq, S&P500, and Dow-Jones) with an analytical formula recently derived by Dragulescu and Yakovenko for the Heston model with stochastic variance. For the period of 1982-1999, we find a very good agreement between the theory and the data for a wide range of time lags from 1 to 250 days. On the other hand, deviations start to appear when the data for 2000-2002 are included. We interpret this as a statistical evidence of the major change in the market from a positive growth rate in 1980s and 1990s to a negative rate in 2000s.