# Stock market return distributions: from past to present

## TL;DR

This paper analyzes high-frequency stock market data to show that recent fluctuations exhibit power-law tail behavior with increasing efficiency over time, indicating evolving market dynamics.

## Contribution

It provides new empirical evidence that the tail behavior of stock returns has changed over recent years, reflecting increased market efficiency.

## Key findings

- Tail distributions have power-law scaling with alpha > 3
- Scaling index increases with higher sampling frequency
- Market dynamics are evolving compared to past observations

## Abstract

We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with decreasing sampling frequency. Our study is based on high-frequency recordings of the S&P500, DAX and WIG20 indices over the interval May 2004 - May 2006. Our findings suggest that dynamics of the contemporary market may differ from the one observed in the past. This effect indicates a constantly increasing efficiency of world markets.