Quantifying price fluctuations in the Brazilian stock market

This paper investigates price fluctuations in the Brazilian stock market. We employ a recently developed methodology to test whether the Brazilian stock price returns present a power law distribution and find that we cannot reject such behavior. Empirical results for sub-partitions of the time series suggests that for most of the time the power law is not rejected, but that in some cases the data set does not conform with a power law distribution.

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Year of publication:	2009
Authors:	Tabak, B.M. ; Takami, M.Y. ; Cajueiro, D.O. ; Petitinga, A.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 388.2009, 1, p. 59-62
Publisher:	Elsevier
Subject:	Power law distribution \| Stock market \| Emerging markets \| Econophysics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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