Power law for the calm-time interval of price changes

Taisei Kaizoji () and Michiyo Kaizoji

Physica A: Statistical Mechanics and its Applications, 2004, vol. 336, issue 3, 563-570

Abstract: In this paper, we describe a newly discovered statistical property of time series data for daily price changes. We investigated quantitatively the calm-time intervals of price changes for 800 companies listed in the Tokyo Stock Exchange, and for the Nikkei 225 index in the 27-year period from January 1975 to December 2001. A calm-time interval is defined as the interval between two successive price changes above a fixed threshold. We found that the calm-time interval distribution of price changes obeys a power-law decay. Furthermore, we show that the power-law exponent monotonically decreases with respect to the threshold.

Keywords: Econophysics; Stock price changes; Calm-time interval; Power-laws (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (14)

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Working Paper: Power law for the calm-time interval of price changes (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:336:y:2004:i:3:p:563-570

DOI: 10.1016/j.physa.2003.12.054

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