Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
977434 | Physica A: Statistical Mechanics and its Applications | 2006 | 8 Pages |
Abstract
In this paper the diffusion entropy technique is applied to investigate the scaling behavior of financial markets. The scaling behaviors of four representative stock markets, Dow Jones Industrial Average, Standard&Poor 500, Heng Seng Index, and Shang Hai Stock Synthetic Index, are almost the same; with the scale-invariance exponents all in the interval [0.92,0.95][0.92,0.95]. We also estimate the local scaling exponents which indicate the financial time series is homogenous perfectly. In addition, a parsimonious percolation model for stock markets is proposed, of which the scaling behavior agrees with the real-life markets well.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Shi-Min Cai, Pei-Ling Zhou, Hui-Jie Yang, Chun-Xia Yang, Bing-Hong Wang, Tao Zhou,