dorsal/arxiv
View SchemaStatistical properties of daily ensemble variables in the Chinese stock markets
| Authors | Gao-Feng Gu, Wei-Xing Zhou |
|---|---|
| Categories | |
| ArXiv ID | physics/0603147 |
| URL | https://arxiv.org/abs/physics/0603147 |
| DOI | 10.1016/j.physa.2007.05.007 |
| Journal | Physica A 383, 497-506 (2007). |
Abstract
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and the standard deviation of the ensemble daily price returns of a portfolio of stocks traded in China's stock markets on a given day. The distribution of the daily ensemble returns has an exponential form in the center and power-law tails, while the variety distribution is log-Gaussian in the bulk followed by a power-law tail for large varieties. Based on detrended fluctuation analysis, R/S analysis and modified R/S analysis, we find evidence of long memory in the ensemble returns and strong evidence of long memory in the evolution of variety.
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"abstract": "We study dynamical behavior of the Chinese stock markets by investigating the\nstatistical properties of daily ensemble returns and varieties defined\nrespectively as the mean and the standard deviation of the ensemble daily price\nreturns of a portfolio of stocks traded in China\u0027s stock markets on a given\nday. The distribution of the daily ensemble returns has an exponential form in\nthe center and power-law tails, while the variety distribution is log-Gaussian\nin the bulk followed by a power-law tail for large varieties. Based on\ndetrended fluctuation analysis, R/S analysis and modified R/S analysis, we find\nevidence of long memory in the ensemble returns and strong evidence of long\nmemory in the evolution of variety.",
"arxiv_id": "physics/0603147",
"authors": [
"Gao-Feng Gu",
"Wei-Xing Zhou"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2007.05.007",
"journal_ref": "Physica A 383, 497-506 (2007).",
"title": "Statistical properties of daily ensemble variables in the Chinese stock markets",
"url": "https://arxiv.org/abs/physics/0603147"
},
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