Inverse statistics and information content

H. Ebadi, Meysam Bolgorian and G.R. Jafari

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 23, 5439-5446

Abstract: Inverse statistics analysis studies the distribution of investment horizons to achieve a predefined level of return. This distribution provides a maximum investment horizon which determines the most likely horizon for gaining a specific return. There exists a significant difference between inverse statistics of financial market data and a fractional Brownian motion (fBm) as an uncorrelated time-series, which is a suitable criteria to measure information content in financial data. In this paper we perform this analysis for the DJIA and S&P500 as two developed markets and Tehran price index (TEPIX) as an emerging market. We also compare these probability distributions with fBm probability, to detect when the behavior of the stocks are the same as fBm.

Keywords: Inverse statistics; Investment horizon (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:23:p:5439-5446

DOI: 10.1016/j.physa.2010.08.006

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