{
  "annotation_id": "539cf628-371c-473a-bb3d-054dec4b36c2",
  "date_created": "2026-03-02T18:01:00.756000Z",
  "date_modified": "2026-03-02T18:01:00.756000Z",
  "file_hash": "85e753d698d05099638419124877550f71f5567f38fada924c0429ee34555bf0",
  "private": false,
  "record": {
    "abstract": "The aim of this paper is to compare statistical properties of stock price\nindices in periods of booms with those in periods of stagnations. We use the\ndaily data of the four stock price indices in the major stock markets in the\nworld: (i) the Nikkei 225 index (Nikkei 225) from January 4, 1975 to August 18,\n2004, of (ii) the Dow Jones Industrial Average (DJIA) from January 2, 1946 to\nAugust 18, 2004, of (iii) Standard and Poor\u0027s 500 index (SP500) from November\n22, 1982 to August 18, 2004, and of (iii) the Financial Times Stock Exchange\n100 index (FT 100) from April 2, 1984 to August 18, 2004. We divide the time\nseries of each of these indices in the two periods: booms and stagnations, and\ninvestigate the statistical properties of absolute log returns, which is a\ntypical measure of volatility, for each period. We find that (i) the tail of\nthe distribution of the absolute log-returns is approximated by a power-law\nfunction with the exponent close to 3 in the periods of booms while the\ndistribution is described by an exponential function with the scale parameter\nclose to unity in the periods of stagnations.",
    "arxiv_id": "physics/0506114",
    "authors": [
      "Taisei Kaizoji"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.ST"
    ],
    "title": "Comparison of volatility distributions in the periods of booms and   stagnations: an empirical study on stock price indices",
    "url": "https://arxiv.org/abs/physics/0506114"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "59036a7f-2cce-4853-9a35-17c9df93b6ef",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}