Statistical analysis of 5 s index data of the Budapest Stock Exchange

被引：28

作者：

Jánosi, IM

Janecskó, B

Kondor, I

机构：

[1] Eotvos Lorand Univ, Dept Phys Complex Syst, H-1117 Budapest, Hungary

[2] Forschungszentrum Julich, John von Neumann Inst Comp, NIC, D-52425 Julich, Germany

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 1999年 / 269卷 / 01期

基金：

匈牙利科学研究基金会;

关键词：

financial markets; stock index; fluctuations;

D O I：

10.1016/S0378-4371(99)00085-0

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

A statistical analysis of the Budapest Stock Index (BUX) is presented. The high time resolution (5 s sampling) makes it possible to extract information on market functioning which does not emerge from daily data. The main results are as follows: from a statistical point of view the large drop in October 1997 was a "normal" event. Strong autocorrelation has been detected in the volatility and market activity data. Detrended fluctuation analysis reveals "superdiffusive" scaling without persistence. Finally, we report on a simple method for mapping local trends to represent sequences in order to obtain pattern statistics. (C) 1999 Elsevier Science B.V. All rights reserved.

引用

页码：111 / 124

页数：14

共 28 条

[1]

Bouchaud J.-P., 1997, Theory of Financial Risks

[2] A prototype model of stock exchange [J].

Caldarelli, G ;

Marsili, M ;

Zhang, YC .

EUROPHYSICS LETTERS, 1997, 40 (05) :479-484

[3]

CIZEAU P, CONDMAT9708143

[4] A GEOGRAPHICAL MODEL FOR THE DAILY AND WEEKLY SEASONAL VOLATILITY IN THE FOREIGN-EXCHANGE MARKET [J].

DACOROGNA, MM ;

MULLER, UA ;

NAGLER, RJ ;

OLSEN, RB ;

PICTET, OV .

JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1993, 12 (04) :413-438

[5]

Ding Z., 1993, J. Empir. Finance, V1, P83, DOI [10.1016/0927-5398(93)90006-D, DOI 10.1016/0927-5398(93)90006-D]

[6]

EDWARDS RD, 1997, TECHNICAL ANAL STOCK

[7]

Feder J., 1988, FRACTALS

[8] Turbulent cascades in foreign exchange markets [J].

Ghashghaie, S ;

Breymann, W ;

Peinke, J ;

Talkner, P ;

Dodge, Y .

NATURE, 1996, 381 (6585) :767-770

[9]

HURST HE, 1965, LONT TERM STORAGE EX

[10]

JANOSI IM, UNPUB

← 1 2 3 →