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- Title
Survey Castaing Distribution on Iranian Stock Market: An Econophysic Approach.
- Authors
Zare, Hashem; Sakha, Zeinab Rezaei; Zare, Mohammad
- Abstract
The purpose of the present study is to analyze the behaviors of the Iranian stock market using a non-Gaussian distribution function developed by a physicist called Castaing. Data were gathered on a daily basis from December 2008 to August 2016. In order to estimate the Castaing function, the Bayesian method and the Marcov chain Mont Carlo simulations were adopted. The results indicate a non-Gaussian distribution function with fat tails. Based on the findings, the probability of unexpected crises in the Iranian stock market could not be ignored.
- Subjects
STOCK exchanges; BAYES' theorem; MONTE Carlo method
- Publication
Hyperion International Journal of Econophysics & New Economy, 2016, Vol 9, Issue 2, p5
- ISSN
2069-3508
- Publication type
Article