Waiting-time distribution for a stock-market index

Jae Woo Lee, Kyoung Eun Lee and Per Arne Rikvold

Papers from arXiv.org

Abstract: We investigate the waiting-time distribution of the absolute return in the Korean stock-market index KOSPI. We define the waiting time as a time interval during which the normalized absolute return remains continuously below a threshold $r_c$. Through an exponential bin plot, we observe that the waiting-time distribution shows power-law behavior, $p_f (t) \sim t^{-\beta}$, for a range of threshold values. The waiting-time distribution has two scaling regimes, separated by the crossover time $t_c \approx 200$ min. The power-law exponents of the waiting-time distribution decrease when the return time $\Delta t$ increases. In the late-time regime, $t > t_c$, the power-law exponents are independent of the threshold to within the error bars for fixed return time.

Date: 2005-08
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Published in Journal of Korean Physical Society, 48, S123~S126(2006)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0508218

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