Statistical Analysis of the Stock Index of the Budapest Stock Exchange

J. Rotyis and G. Vattay
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J. Rotyis: E\"otv\"os University Budapest,Hungary
G. Vattay: E\"otv\"os University Budapest,Hungary

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Abstract: Scaling properties of the BUX index are similar to those observed in other parts of the world. The main difference is that the traditional quantities like volatility, growth and autocorrelation of returns follows more closely the assumptions of the traditional stock market theory developed by Bachelier and by Black and Scholes.

Date: 1997-11
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