Double Power Law Decay of the Persistence in Financial Markets

S. Jain and T. Yamano

Papers from arXiv.org

Abstract: The persistence phenomenon is studied in the Japanese financial market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is applied to historical end of day data from the Japanese stock market during 2002. By studying the time dependence of the spins, we find clear evidence for a double-power law decay of the proportion of shares that remain either above or below ` starting\rq\ values chosen at random. The results are consistent with a recent analysis of the data from the London FTSE100 market. The slopes of the power-laws are also in agreement. We estimate a long time persistence exponent for the underlying Japanese financial market to be 0.5.

Date: 2008-03
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/0803.0436 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0803.0436

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().