Statistical analysis of 5 s index data of the Budapest Stock Exchange

被引：28
|
作者：
Jánosi, IM
Janecskó, B
Kondor, I
机构：
[1] Eotvos Lorand Univ, Dept Phys Complex Syst, H-1117 Budapest, Hungary
[2] Forschungszentrum Julich, John von Neumann Inst Comp, NIC, D-52425 Julich, Germany
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 1999年 / 269卷 / 01期
基金：
匈牙利科学研究基金会;
关键词：
financial markets; stock index; fluctuations;
D O I：
10.1016/S0378-4371(99)00085-0
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
A statistical analysis of the Budapest Stock Index (BUX) is presented. The high time resolution (5 s sampling) makes it possible to extract information on market functioning which does not emerge from daily data. The main results are as follows: from a statistical point of view the large drop in October 1997 was a "normal" event. Strong autocorrelation has been detected in the volatility and market activity data. Detrended fluctuation analysis reveals "superdiffusive" scaling without persistence. Finally, we report on a simple method for mapping local trends to represent sequences in order to obtain pattern statistics. (C) 1999 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：111 / 124
页数：14
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