Long-time fluctuations in a dynamical model of stock market indices

Ofer Biham*, Zhi Feng Huang, Ofer Malcai, Sorin Solomon

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

11 Scopus citations


The distributions of returns in a generic model that described the dynamics of stock market indices were studied. For the distributions generated by this model, it was observed that the central peak was consistent with a levy distributions while the tails exhibited a power-law distributions with an exponent beyond the range of Levy-stable distributions. It was found that the results were fully consistent with the empirical results both for central peak and for the tails.

Original languageAmerican English
Article number026101
Pages (from-to)261011-261015
Number of pages5
JournalPhysical Review E
Issue number2 II
StatePublished - Aug 2001


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