Ting, Julian Juhi-Lian - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 285-295
Volatility, fitting with first-order Landau expansion, stationarity, and causality of the Taiwan stock market (TAIEX) are investigated based on daily records. Instead of consensuses that consider stock market index change as a random time series we propose the market change as a dual time series...