  The probability distribution of stock price changes is studied by analyzing a
database (the Trades and Quotes Database) documenting every trade for all
stocks in three major US stock markets, for the two year period Jan 1994 -- Dec
1995. A sample of 40 million data points is extracted, which is substantially
larger than studied hitherto. We find an asymptotic power-law behavior for the
cumulative distribution with an exponent alpha approximately 3, well outside
the Levy regime 0< alpha <2.
