Name
Abstract | ||
|---|---|---|
Motivated by the goal of discovering more accurate characteristics of Chinese stock market, this paper investigates the power-law properties and criticality of the Shanghai Securities Exchange Compound Index (SSEECI) with two benchmarks of 5-min and 1-day database. We find that the center profile of returns distribution is well described by Levy regime and, more important, that the approximately symmetric tails of distribution are characterized by another power-law regime with an exponent well out of Levy range 0\le \alpha \le 2 and also beyond the exponent \alpha \approx 3 of fully developed markets. Moreover, we also show that returns appear to exhibit the criticality. When timescale \Delta t \ge 4days, the distribution exhibits the slow convergence to normal Gaussian behavior. The phenomena support that the critical timescale \Delta t \approx 4days of fully developed markets is universal for Chinese stock market. |
Year | DOI | Venue |
|---|---|---|
2007 | null | Advances in Systems Science and Applications |
Keywords | Field | DocType |
levy range,levy regime,multiscale,returns distribution,chinese stock market,criticality,accurate characteristic,critical timescale,power-law regime,shanghai securities exchange compound,power-law property,1-day database,multiscale power-law properties,stock market,indexation,power law | Econometrics,Convergence (routing),Mathematical optimization,Actuarial science,Exponent,Computer science,Gaussian,Criticality,Power law,Stock market | Conference |
Volume | Issue | ISSN |
9 | 3 | null |
ISBN | Citations | PageRank |
0-7695-2875-9 | 0 | 0.34 |
References | Authors | |
0 | 3 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Honglin Yang | 1 | 5 | 3.11 |
| Shou Chen | 2 | 13 | 2.49 |
| Yan Yang | 3 | 0 | 0.34 |