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Scale invariance in financial time series

Author

Listed:
  • Ranasinghe Malmini

    (University of Sri Jayewardenepura)

Abstract

We focus on new insights of scale invariance and scaling properties usefully applied in the framework of a statistical approach to study the empirical finance. Two stock returns of Sri Lankan stock market indices All Share Price Index and Milanka Price Index index were considered. Central parts of the probability distribution function of returns are well fitted by the Lorentzian distribution function. However, tail parts of the probability distribution function follow a power law asymptotic behavior. We found that the probability distribution function of returns for both All Share Price Index and Milanka Price Index , is outside the L´evy stable distribution. Sri Lankan stock market is not described by the random Gaussian stochastic processes.

Suggested Citation

  • Ranasinghe Malmini, 2007. "Scale invariance in financial time series," Economics Bulletin, AccessEcon, vol. 3(24), pages 1-7.
    • Handle: RePEc:ebl:ecbull:eb-07c50001
    as

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    References listed on IDEAS

    as
    1. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December.
    2. Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.
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    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • P0 - Political Economy and Comparative Economic Systems - - General

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