Universality of Tail Exponents of Price Changes?
ORAL
Abstract
We study the tail exponents of the distribution of logarithmic price changes in financial markets, and investigate the conjecture that they are universal with an exponent near three. Using data from the London Stock Exchange, we construct the empirical distributions of price returns on several different time scales and study their variation as a function of parameters such as trading volume and tick size (the minimal unit of price variation).
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Authors
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Luwen Huang
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Doyne Farmer
Santa Fe Institute, Santa Fe Institute, N.M., USA, Santa Fe Institute, NM