Showing 1 - 7 of 7
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha 3 and this index tends to increase quickly with decreasing sampling frequency. Our study is based on...
Persistent link: https://www.econbiz.de/10005084302
The statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here we present a systematic study of such characteristics for the Polish stock market index WIG20 over the period 04.01.1999 - 31.10.2005 for the time...
Persistent link: https://www.econbiz.de/10005099437
We study the inter-stock correlations for the largest companies listed on Warsaw Stock Exchange and included in the WIG20 index. Our results from the correlation matrix analysis indicate that the Polish stock market can be well described by a one factor model. We also show that the stock-stock...
Persistent link: https://www.econbiz.de/10005105840
Using the correlation matrix formalism we study the temporal aspects of the Warsaw Stock Market evolution as represented by the WIG20 index. The high frequency (1 min) WIG20 recordings over the time period between January 2001 and October 2005 are used. The entries of the correlation matrix...
Persistent link: https://www.econbiz.de/10005083638
The conventional formal tool to detect effects of the financial persistence is in terms of the Hurst exponent. A typical corresponding result is that its value comes out close to 0.5, as characteristic for geometric Brownian motion, with at most small departures from this value in either...
Persistent link: https://www.econbiz.de/10005083706
There is more and more empirical evidence that multifractality constitutes another and perhaps the most significant financial stylized fact. A realistic model of the financial dynamics should therefore incorporate this effect. The most promising in this respect is the Multifractal Model of Asset...
Persistent link: https://www.econbiz.de/10005083903
We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA). By calculating the singularity spectra $f(\alpha)$ we show that returns of both signs reveal multiscaling....
Persistent link: https://www.econbiz.de/10005084022