کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9727703 | 1480207 | 2005 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Inverse statistics in stock markets: Universality and idiosyncracy
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit times ÏÏ, defined as the waiting time needed to obtain a certain increase Ï in the price, follows a power law p(ÏÏ)â¼ÏÏ-α with αâ1.5 for large ÏÏ and the optimal investment horizon ÏÏ* scales as Ïγ when Ï is not too small (Eur. Phys. J. B 27 (2002) 583-586; Physica A 324 (2003) 338-343; Int. J. Mod. Phys. B 17 (2003) 4003-4012). We have performed extensive analyses based on unfiltered daily indices and stock prices as well as high-frequency (5-min) records in numerous stock markets all over the world. Our analysis confirms that the power-law distribution of exit times with an exponent of about α=1.5 is universal for all the data sets analyzed. In addition, all data sets show that the power-law scaling in the optimal investment horizon holds, but with idiosyncratic exponents. Specifically, γâ1.5 for the daily data in most of the developed stock markets and the 5-min high-frequency data, while the γ values for the daily indexes and stock prices in emerging markets are significantly less than 1.5. We show that there is little chance that the discrepancy in γ is due to the difference in sample sizes of the two kinds of stock markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 353, 1 August 2005, Pages 433-444
Journal: Physica A: Statistical Mechanics and its Applications - Volume 353, 1 August 2005, Pages 433-444
نویسندگان
Wei-Xing Zhou, Wei-Kang Yuan,