dorsal/arxiv
View SchemaNonextensive statistical features of the Polish stock market fluctuations
| Authors | R. Rak, S. Drozdz, J. Kwapien |
|---|---|
| Categories | |
| ArXiv ID | physics/0603071 |
| URL | https://arxiv.org/abs/physics/0603071 |
| DOI | 10.1016/j.physa.2006.07.035 |
| Journal | PhysicaA374:315-324,2007 |
Abstract
The statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here we present a systematic study of such characteristics for the Polish stock market index WIG20 over the period 04.01.1999 - 31.10.2005 for the time lags ranging from one minute up to one hour. This market is commonly classified as emerging. Still on the shortest time scales studied we find that the tails of the return distributions are consistent with the inverse cubic power-law, as identified previously for majority of the mature markets. Within the time scales studied a quick and considerable departure from this law towards a Gaussian can however be traced. Interestingly, all the forms of the distributions observed can be comprised by the single $q$-Gaussians which provide a satisfactory and at the same time compact representation of the distribution of return fluctuations over all magnitudes of their variation. The corresponding nonextensivity parameter $q$ is found to systematically decrease when increasing the time scales.
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"abstract": "The statistics of return distributions on various time scales constitutes one\nof the most informative characteristics of the financial dynamics. Here we\npresent a systematic study of such characteristics for the Polish stock market\nindex WIG20 over the period 04.01.1999 - 31.10.2005 for the time lags ranging\nfrom one minute up to one hour. This market is commonly classified as emerging.\nStill on the shortest time scales studied we find that the tails of the return\ndistributions are consistent with the inverse cubic power-law, as identified\npreviously for majority of the mature markets. Within the time scales studied a\nquick and considerable departure from this law towards a Gaussian can however\nbe traced. Interestingly, all the forms of the distributions observed can be\ncomprised by the single $q$-Gaussians which provide a satisfactory and at the\nsame time compact representation of the distribution of return fluctuations\nover all magnitudes of their variation. The corresponding nonextensivity\nparameter $q$ is found to systematically decrease when increasing the time\nscales.",
"arxiv_id": "physics/0603071",
"authors": [
"R. Rak",
"S. Drozdz",
"J. Kwapien"
],
"categories": [
"physics.data-an",
"astro-ph",
"cond-mat.stat-mech",
"physics.comp-ph",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2006.07.035",
"journal_ref": "PhysicaA374:315-324,2007",
"title": "Nonextensive statistical features of the Polish stock market fluctuations",
"url": "https://arxiv.org/abs/physics/0603071"
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