Scaling of the distribution of fluctuations
The following two papers analyze the scaling property of index returns and individual stock returns :
Scaling of the distribution of fluctuations of financial market indices
Scaling of the distribution of price fluctuations of individual companies
In this post, I will briefly summarize the main contents of the papers.
Scaling of the distribution of fluctuations of financial market indices :
It is well known that index returns and stock return distributions observed in reality are far from Gaussian.