Gambling on the Budapest stock exchange

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

The statistical properties of the total yield are analyzed for an assembly of gamblers in an erratic period on the Budapest stock exchange. Random trading results in a log-normal limit distribution of a surprisingly large width, while the simplest profit realizing strategy narrows down the peak around a positive average value. The effect of transaction costs, the statistics of extremes, and patterns of successful trading are also investigated. In spite of the very simple approach, we present strong indications that large trading activity (e.g. day trading) is a rather risky way of capital investment. A comparison with the yield distribution of 32 public investment funds in the given period does not reflect the presence of a sophisticated investment strategy in the background.

Original languageEnglish
Pages (from-to)333-339
Number of pages7
JournalEuropean Physical Journal B
Volume17
Issue number2
Publication statusPublished - Sep 2 2000

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Profitability
indication
assembly
Statistics
statistics
costs
Costs

Keywords

  • 02.50.-r Probability theory, stochastic processes, and statistics
  • 89.90.+n Other topics of general interest to physicists

ASJC Scopus subject areas

  • Electronic, Optical and Magnetic Materials
  • Condensed Matter Physics

Cite this

Gambling on the Budapest stock exchange. / Jánosi, I.

In: European Physical Journal B, Vol. 17, No. 2, 02.09.2000, p. 333-339.

Research output: Contribution to journalArticle

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