Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/69487
標題: PERSISTENCE PROBABILITY ANALYZED ON THE TAIWAN STOCK MARKET
作者: Chen, I.C.
Chen, H.J.
Tseng, H.C.
關鍵字: Persistence probability
Hurst exponent
stock market
detrended
fluctuation analysis
zero-temperature dynamics
detrended fluctuation analysis
long-range
correlations
time-series
exponents
model
diffusion
currency
index
期刊/報告no:: International Journal of Modern Physics B, Volume 23, Issue 22, Page(s) 4713-4726.
摘要: We report a numerical study of the Taiwan stock market, in which we used three data sources: the daily Taiwan stock exchange index (TAIEX) from January 1983 to May 2006, the daily OTC index from January 1995 to May 2006, and the one-min intraday data from February 2000 to December 2003. Our study is based on numerical estimates of persistence exponent theta(p), Hurst exponent H(2), and fluctuation exponent h(2). We also discuss the results concerning persistence probability P(t), qth-order price-price correlation function G(q)(t), and qth-order normalized fluctuation function f(q)(t) among these indices.
URI: http://hdl.handle.net/11455/69487
ISSN: 0217-9792
文章連結: http://dx.doi.org/10.1142/s0217979209053175
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