Inverse cubic law for the distribution of stock price variations

摘要: 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 markets, the two year period January 1994 - December 1995. A sample 40 million data points extracted, which substantially larger than hitherto. We find an asymptotic power-law behavior cumulative with exponent $$a \approx 3$$ , well outside Levy regime $$(0 < \alpha 2)$$ .