The first 20 min in the Hong Kong stock market

被引：21

作者：

Huang, ZF ^{[1
]}

机构：

[1] Univ Cologne, Inst Theoret Phys, D-50923 Cologne, Germany

来源：

PHYSICA A | 2000年 / 287卷 / 3-4期

关键词：

probability distribution; volatility; autocorrelation; exponential; power law;

D O I：

10.1016/S0378-4371(00)00379-4

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

Based on the minute-by-minute data of the Hang Seng Index in Hong Kong and the analysis of probability distribution and autocorrelations, we find that the index fluctuations for the first few minutes of daily opening show behaviors very different from those of the other times. In particular, the properties of tail distribution, which will show the power-law scaling with exponent about four or an exponential-type decay, the volatility, and its correlations depend on the opening effect of each trading day. (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：405 / 411

页数：7

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