Self-averaging phenomenon and multiscaling in Hong Kong stock market

被引：26

作者：

Bershadskii, A ^{[1
]}

机构：

[1] ICAR, IL-91000 Jerusalem, Israel

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2003年 / 317卷 / 3-4期

关键词：

stock market; returns distribution; cascade;

D O I：

10.1016/S0378-4371(02)01339-0

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

It is shown that a natural self-averaging phenomenon can transform the initially (on a micro-scopic level) lognormal distribution into bi-lognormal one. Comparison with Hong Kong stock market (Hang Seng index) is used to show that this mechanism is working for different time lags and, therefore, the mechanism can be a reason for profound multiscaling observed for this system. (C) 2003 Elsevier Science B.V. All rights reserved.

引用

收藏

页码：591 / 596

页数：6

相关论文

共 12 条

[1] Direct causal cascade in the stock market [J].

Arneodo, A ;

Muzy, JF ;

Sornette, D .

EUROPEAN PHYSICAL JOURNAL B, 1998, 2 (02) :277-282

[2] Correlations between reconstructed EUR exchange rates versus CHF, DKK, GBP, JPY, and USD [J].

Ausloos, M ;

Ivanova, K .

INTERNATIONAL JOURNAL OF MODERN PHYSICS C, 2001, 12 (02) :169-195

[3]

AUSLOOS M, 2002, CONDMAT0108394

[4] Multifractal critical phenomena in traffic and economic processes [J].

Bershadskii, A .

EUROPEAN PHYSICAL JOURNAL B, 1999, 11 (02) :361-364

[5]

BOUCHAUD JP, 1999, THEORY FINANCIAL RIS

[6] Scaling transformation and probability distributions for financial time series [J].

Brachet, ME ;

Taflin, E ;

Tcheou, JM .

CHAOS SOLITONS & FRACTALS, 2000, 11 (14) :2343-2348

[7] Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate (vol 8, pg 665, 1999) [J].

Ivanova, K ;

Ausloos, M .

EUROPEAN PHYSICAL JOURNAL B, 1999, 12 (04) :613-613

[8]

Mantegna R. N., 2000, INTRO ECONOPHYSICS

[9]

Schmitt F, 1999, APPL STOCH MODEL D A, V15, P29

[10] Coherent and random sequences in financial fluctuations [J].

Vandewalle, N ;

Ausloos, M .

PHYSICA A, 1997, 246 (3-4) :454-459