Chen, I-Chun; Tseng, Hsen-Che; Li, Ping-Cheng; Chen, … - arXiv.org - 2006
We investigated the critical dynamics on the daily Taiwan stock exchange index (TSE) from 1971 to 2005, and the 5-min intraday data from 1996 to 2005. A global persistence exponent $\theta_{p}$ was defined for non-equilibrium critical phenomena \cite{Janssen,Majumdar}, and describing dynamic...