印度市场指数波动分布的逆立方律
Inverse cubic law of index fluctuation distribution in Indian markets
摘要：
金融市场活动的主要统计特征之一是指数等市场指标的波动分布。虽然发达的股票市场，例如，纽约证券交易所（NYSE）的股票收益率分布呈现出具有幂律指数特征的厚尾分布，但这种现象的普遍性一直存在争议，尤其是在新兴市场。在这里，我们调查了印度金融市场的几个指数的分布，印度是世界上最大的新兴市场之一。我们使用了国家证券交易所（NSE）的逐点数据，以及NSE和孟买证券交易所（BSE）的每日收盘数据。我们发现指数收益率的累积分布在1分钟和1天的时间尺度上都具有长尾，并且符合指数为α \approx 3的幂律。这一“逆立方定律”在数量上与发达市场中观察到的相似，从而为市场波动行为的普遍性提供了强有力的证据。
英文摘要：
One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets, e.g., the New York Stock Exchange (NYSE) have been found to show heavy-tailed return distribution with a characteristic power-law exponent, the universality of such behavior has been debated, particularly in regard to emerging markets. Here we investigate the distribution of several indices from the Indian financial market, one of the largest emerging markets in the world. We have used tick-by-tick data from the National Stock Exchange (NSE), as well as, daily closing data from both NSE and Bombay Stock Exchange (BSE). We find that the cumulative distributions of index returns have long tails consistent with a power-law having exponent α\approx 3, at time-scales of both 1 min and 1 day. This ``inverse cubic law'' is quantitatively similar to what has been observed in developed markets, thereby providing strong evidence of universality in the behavior of market fluctuations.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
