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Waiting-time distribution for a stock-market index | | Jae Woo Lee
; Kyoung Eun Lee
; Per Arne Rikvold
; | | Date: |
30 Aug 2005 | | Subject: | Physics and Society; Statistical Mechanics | physics.soc-ph cond-mat.stat-mech | | 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, $p_f (t) sim t^{-eta}$, 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. | | Source: | arXiv, physics/0508218 | | Services: | Forum | Review | PDF | Favorites | |
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