dorsal/arxiv
View SchemaWaiting-time distribution for a stock-market index
| Authors | Jae Woo Lee, Kyoung Eun Lee, Per Arne Rikvold |
|---|---|
| Categories | |
| ArXiv ID | physics/0508218 |
| URL | https://arxiv.org/abs/physics/0508218 |
| Journal | Journal of Korean Physical Society, 48, S123~S126(2006) |
Abstract
We investigate the waiting-time distribution of the absolute return in the Korean stock-market index KOSPI. We define the waiting time as a time interval during which the normalized absolute return remains continuously below a threshold $r_c$. Through an exponential bin plot, we observe that the waiting-time distribution shows power-law behavior, $p_f (t) \sim t^{-\beta}$, for a range of threshold values. The waiting-time distribution has two scaling regimes, separated by the crossover time $t_c \approx 200$ min. The power-law exponents of the waiting-time distribution decrease when the return time $\Delta t$ increases. In the late-time regime, $t > t_c$, the power-law exponents are independent of the threshold to within the error bars for fixed return time.
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"abstract": "We investigate the waiting-time distribution of the absolute return in the\nKorean stock-market index KOSPI. We define the waiting time as a time interval\nduring which the normalized absolute return remains continuously below a\nthreshold $r_c$. Through an exponential bin plot, we observe that the\nwaiting-time distribution shows power-law behavior, $p_f (t) \\sim t^{-\\beta}$,\nfor a range of threshold values. The waiting-time distribution has two scaling\nregimes, separated by the crossover time $t_c \\approx 200$ min. The power-law\nexponents of the waiting-time distribution decrease when the return time\n$\\Delta t$ increases. In the late-time regime, $t \u003e t_c$, the power-law\nexponents are independent of the threshold to within the error bars for fixed\nreturn time.",
"arxiv_id": "physics/0508218",
"authors": [
"Jae Woo Lee",
"Kyoung Eun Lee",
"Per Arne Rikvold"
],
"categories": [
"physics.soc-ph",
"cond-mat.stat-mech",
"q-fin.ST"
],
"journal_ref": "Journal of Korean Physical Society, 48, S123~S126(2006)",
"title": "Waiting-time distribution for a stock-market index",
"url": "https://arxiv.org/abs/physics/0508218"
},
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