Level Crossing Analysis of the Stock Markets

G. R. Jafari, M. S. Movahed, S. M. Fazeli, M. Reza Rahimi Tabar and S. F. Masoudi

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Abstract: We investigate the average frequency of positive slope $\nu_{\alpha}^{+}$, crossing for the returns of market prices. The method is based on stochastic processes which no scaling feature is explicitly required. Using this method we define new quantity to quantify stage of development and activity of stocks exchange. We compare the Tehran and western stock markets and show that some stocks such as Tehran (TEPIX) and New Zealand (NZX) stocks exchange are emerge, and also TEPIX is a non-active market and financially motivated to absorb capital.

Date: 2006-01, Revised 2006-06
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Published in J. Stat. Mech. (2006) P06008

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