Scale-dependent price fluctuations for the Indian stock market

Europhysics Letters

Volumn 66, Issue 6, 2004, Pages 909-914

  Matia, K ^a,d   Pal, M ^b   Salunkay, H ^c   Stanley, H E ^a  

^a Boston University   (United States)

^b BSE Training Institute   (India)

^c Online Derivatives   (India)

^d Edelweiss Capital Ltd   (India)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 3543031705     PISSN: 02955075     EISSN: None     Source Type: Journal    
DOI: 10.1209/epl/i2003-10267-y     Document Type: Article

References (15)

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13. We download daily prices of the top, based on market capitalization, 2000 US stocks from the http://finance.yahoo.com database which were active in the same period as the database of Indian stocks. First, we arrange this set of 2000 stocks alphabetically from 1 to 2000. Next, we generate a list of 49 random integers between 1 and 2000 which are different from each other. Lastly, we select a set of 49 US stocks by choosing from positions indicated by the list of 49 random numbers that were generated.
14. We aggregate the data (analyzed as a single large data set), which is justified if the prices for all 49 stocks follow the same distribution. This assumption is consistent with our experience. We also like to add that in a private discussion with Xavier Gabaix he has pointed out that generally in an emerging economy stocks are more correlated.
15. MALEVERGNE Y., PISARENKO V. F. and SORNETTE D., preprint http://arXiv.org/abs/physics/0305089.