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Self-organization of price fluctuation distribution in evolving markets
2007
Europhysics letters
Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively different in emerging markets as compared to developed markets. Here we analyse both high-frequency tick-by-tick as well as daily closing price data to show that the price fluctuations in the Indian stock market, one of the largest emerging markets, have a
doi:10.1209/0295-5075/77/58004
fatcat:nkzgl53s2jchnk6k5anzcjpcte