Title: Regular paths in financial markets: investigating the Benford's Law
Authors: Jessica Riccioni - University of Macerata (Italy) [presenting]
Roy Cerqueti - University of Macerata (Italy)
Abstract: The aim is to verify whether the Benford's law is valid in the context of global stock market and for all the indexes composing it, with the intention of assessing the presence of data regularities and identifying discrepancies. Specifically, we check the reliability of Benford's Law for all indexes listed on the stock exchanges of the various countries whose time series are available, with a particular reference to prices and volumes of stocks. To pursue our scopes, we adopt comparison criteria grounded on statistical theory, like the Chi-squared test and the mean of the absolute deviations for both the distributions of the first and the second meaningful digits. Evidence of violations are provided, and some insights taken from the historical facts and economic shocks are carried out.