Scale invariance in financial time series

Ranasinghe Malmini ()
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Ranasinghe Malmini: University of Sri Jayewardenepura

Economics Bulletin, 2007, vol. 3, issue 24, 1-7

Abstract: We focus on new insights of scale invariance and scaling properties usefully applied in the framework of a statistical approach to study the empirical finance. Two stock returns of Sri Lankan stock market indices All Share Price Index and Milanka Price Index index were considered. Central parts of the probability distribution function of returns are well fitted by the Lorentzian distribution function. However, tail parts of the probability distribution function follow a power law asymptotic behavior. We found that the probability distribution function of returns for both All Share Price Index and Milanka Price Index , is outside the L´evy stable distribution. Sri Lankan stock market is not described by the random Gaussian stochastic processes.

JEL-codes: C5 P0 (search for similar items in EconPapers)
Date: 2007-06-20
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