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

Imre M Jánosi, Balázs Janecskó and Imre Kondor ()

Physica A: Statistical Mechanics and its Applications, 1999, vol. 269, issue 1, 111-124

Abstract: 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.

Keywords: Financial markets; Stock index; Fluctuations (search for similar items in EconPapers)
Date: 1999
References: View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:269:y:1999:i:1:p:111-124

DOI: 10.1016/S0378-4371(99)00085-0

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