The survey and criterion of the compass rose in Chinese A-share market

Wenzhao Tian, Yanxiang Wang, Zhao Huo and Yilin Li

Physica A: Statistical Mechanics and its Applications, 2018, vol. 492, issue C, 272-284

Abstract: The compass rose is one of the few “recurring patterns” found in financial markets. In this paper, the compass rose in Chinese A-share market is comprehensively investigated. It is newly discovered that among the 1331 A-shares, which had been listed for more than 15 years by the end of 2015, only about 20 show the compass rose. The outcome of the analysis shows that there exists a threshold of the ratio of the data points on main rays to all data points. Only when this ratio is above the threshold, the compass rose appears. The reasons why such a threshold exists, and its interrelationship with the data frequency and the tick/volatility ratio are analyzed.

Keywords: Chinese A-share market; Compass rose; Angular distribution histogram; Criterion; Threshold (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:492:y:2018:i:c:p:272-284

DOI: 10.1016/j.physa.2017.09.069

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