Fig 1. The co-movement of stocks.

Plotted is the fraction of trading days during the year (f, vertical axis) in which a certain fraction of stocks (k/N, horizontal axis) moved up. Empirical data are shown (solid lines) along with one-parameter theoretical fits (dashed lines) for the years indicated. Three years are omitted that do not differ much from the year immediately preceding and after them. Bottom panel combines all of the years shown. Stocks included are from the Russell 3000 that trade on the NYSE or Nasdaq. Curves are kernel density estimates with Gaussian kernels (σ = 0.06). Fits pass the χ ² goodness-of-fit test (the deviation of the data from the theoretical distribution is not statistically significant at the 25% level).