dorsal/arxiv
View SchemaCritical dynamics and global persistence exponent on Taiwan financial market
| Authors | I-Chun Chen, Hsen-Che Tseng, Ping-Cheng Li, Hung-Jung Chen |
|---|---|
| Categories | |
| ArXiv ID | physics/0608004 |
| URL | https://arxiv.org/abs/physics/0608004 |
Abstract
We investigated the critical dynamics on the daily Taiwan stock exchange index (TSE) from 1971 to 2005, and the 5-min intraday data from 1996 to 2005. A global persistence exponent $\theta_{p}$ was defined for non-equilibrium critical phenomena \cite{Janssen,Majumdar}, and describing dynamic behavior in an economic index \cite{Zheng}. In recent numerical analysis studies of literatures, it is illustrated that the persistence probability has a universal scaling form $P(t) \sim t^{-\theta_{p}}$ \cite{Zheng1}. In this work, we analyzed persistence properties of universal scaling behavior on Taiwan financial market, and also calculated the global persistence exponent $\theta_{p}$. We found our analytical results in good agreement with the same universality.
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"date_created": "2026-03-02T18:01:11.460000Z",
"date_modified": "2026-03-02T18:01:11.460000Z",
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"abstract": "We investigated the critical dynamics on the daily Taiwan stock exchange\nindex (TSE) from 1971 to 2005, and the 5-min intraday data from 1996 to 2005. A\nglobal persistence exponent $\\theta_{p}$ was defined for non-equilibrium\ncritical phenomena \\cite{Janssen,Majumdar}, and describing dynamic behavior in\nan economic index \\cite{Zheng}.\n In recent numerical analysis studies of literatures, it is illustrated that\nthe persistence probability has a universal scaling form $P(t) \\sim\nt^{-\\theta_{p}}$ \\cite{Zheng1}. In this work, we analyzed persistence\nproperties of universal scaling behavior on Taiwan financial market, and also\ncalculated the global persistence exponent $\\theta_{p}$. We found our\nanalytical results in good agreement with the same universality.",
"arxiv_id": "physics/0608004",
"authors": [
"I-Chun Chen",
"Hsen-Che Tseng",
"Ping-Cheng Li",
"Hung-Jung Chen"
],
"categories": [
"physics.data-an",
"physics.comp-ph",
"q-fin.ST"
],
"title": "Critical dynamics and global persistence exponent on Taiwan financial market",
"url": "https://arxiv.org/abs/physics/0608004"
},
"schema_id": "dorsal/arxiv",
"source": {
"execution_id": "6dc6b24c-e196-488c-80f2-1a137a10ce6d",
"id": "arXiv Dataset IDs",
"type": "Model",
"variant": "snapshot-2026-03-01",
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