On the log-normal distribution of stock market data

被引：11

作者：

Antoniou, I

Ivanov, VV

Zrelov, PV

机构：

[1] ULB, Int Solvay Inst Phys, B-1050 Brussels, Belgium

[2] ULB, Int Solvay Inst Chem, B-1050 Brussels, Belgium

[3] Joint Inst Nucl Res, Informat Technol Lab, Dubna 141980, Russia

[4] Aristotle Univ Thessaloniki, Dept Math, Thessaloniki 54006, Greece

[5] Joint Inst Nucl Res, Univ Ctr, Dubna 141980, Russia

[6] Inst Super Technol, L-1359 Luxembourg, Luxembourg

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2004年 / 331卷 / 3-4期

关键词：

stock market; log-normal law; statistical model;

D O I：

10.1016/j.physa.2003.09.034

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We present our recent studies on the development of a statistical model of stock market data. For some stock market data, the statistical distribution of closing prices normalized by the corresponding traded volumes, fits well a log-normal law. For other stocks, the log-normal law is obtained after application of a detrending procedure. Different schemes for the trend determination are considered. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：617 / 638

页数：22

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