Power law for the calm-time interval of price changes

被引：41

作者：

Kaizoji, T ^{[1
]}

Kaizoji, M

机构：

[1] Int Christian Univ, Div Social Sci, Tokyo 1818585, Japan

[2] Econophys Lib, Koganei, Tokyo 1840011, Japan

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2004年 / 336卷 / 3-4期

基金：

日本学术振兴会;

关键词：

econophysics; stock price changes; calm-time interval; power-laws;

D O I：

10.1016/j.physa.2003.12.054

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

In this paper, we describe a newly discovered statistical property of time series data for daily price changes. We investigated quantitatively the calin-time intervals of price changes for 800 companies listed in the Tokyo Stock Exchange, and for the Nikkei 225 index in the 27-year period from January 1975 to December 2001. A calm-time interval is defined as the interval between two successive price changes above a fixed threshold. We found that the calm-time interval distribution of price changes obeys a power-law decay. Furthermore, we show that the power-law exponent monotonically decreases with respect to the threshold. (C) 2003 Published by Elsevier B.V.

引用

页码：563 / 570

页数：8

共 24 条

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