Self-averaging phenomenon and multiscaling in Hong Kong stock market

A. Bershadskii

Physica A: Statistical Mechanics and its Applications, 2003, vol. 317, issue 3, 591-596

Abstract: It is shown that a natural self-averaging phenomenon can transform the initially (on a microscopic level) lognormal distribution into bi-lognormal one. Comparison with Hong Kong stock market (Hang Seng index) is used to show that this mechanism is working for different time lags and, therefore, the mechanism can be a reason for profound multiscaling observed for this system.

Keywords: Stock market; Returns distribution; Cascade (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:317:y:2003:i:3:p:591-596

DOI: 10.1016/S0378-4371(02)01339-0

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