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標題: A persistence probability analysis in major financial indices
作者: Chen, I.C.
Chen, H.J.
Tseng, H.C.
關鍵字: persistence probability
Hurst exponent
stock market
power law
期刊/報告no:: Journal of the Korean Physical Society, Volume 50, Issue 1, Page(s) 249-253.
摘要: We analyzed twenty world stock market indices and compared the persistence properties among these countries. Two methods were used in the analyses: (1) the price-price correlation analysis technique and (2) the persistence analysis technique. Our studies are based on numerical estimates of the persistence exponent theta(p) and the Hurst exponent H-2, The relation theta(p) = 1 - H-2 among these countries is also discussed.
ISSN: 0374-4884
Appears in Collections:期刊論文



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