Showing 81 - 90 of 214
Persistent link: https://www.econbiz.de/10005107562
We investigate the probability distributions of the recurrence intervals $\tau$ between consecutive 1-min returns above a positive threshold $q0$ or below a negative threshold $q0$ of two indices and 20 individual stocks in China's stock market. The distributions of recurrence intervals for...
Persistent link: https://www.econbiz.de/10005082679
We apply two non-parametric methods to test further the hypothesis that log-periodicity characterizes the detrended price trajectory of large financial indices prior to financial crashes or strong corrections. The analysis using the so-called (H,q)-derivative is applied to seven time series...
Persistent link: https://www.econbiz.de/10005083513
The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of trades for individual stocks exhibits jumps, which is caused...
Persistent link: https://www.econbiz.de/10005083553
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. A scaling pattern is observed in the...
Persistent link: https://www.econbiz.de/10005083655
Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective aggregate decisions of agents. This model incorporates...
Persistent link: https://www.econbiz.de/10005083910
We tested 45 indices and common stocks traded in the South African stock market for the possible existence of a bubble over the period from Jan. 2003 to May 2006. A bubble is defined by a faster-than-exponential acceleration with significant log-periodic oscillations. The faster-than-exponential...
Persistent link: https://www.econbiz.de/10005083912
The trade size $\omega$ has direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific scaling laws, where a master curve of price impact can be obtained in each market when stock...
Persistent link: https://www.econbiz.de/10005083919
We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We find that the returns at the one-trade timescale obey the...
Persistent link: https://www.econbiz.de/10005083925
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and the standard deviation of the ensemble daily price returns of a portfolio of stocks traded in China's stock markets on...
Persistent link: https://www.econbiz.de/10005084016