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Self-averaging phenomenon and multiscaling in Hong Kong stock market

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  • Bershadskii, A.
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    Abstract

    It is shown that a natural self-averaging phenomenon can transform the initially (on a microscopic level) lognormal distribution into bi-lognormal one. Comparison with Hong Kong stock market (Hang Seng index) is used to show that this mechanism is working for different time lags and, therefore, the mechanism can be a reason for profound multiscaling observed for this system.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378437102013390
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    Bibliographic Info

    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 317 (2003)
    Issue (Month): 3 ()
    Pages: 591-596

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    Handle: RePEc:eee:phsmap:v:317:y:2003:i:3:p:591-596

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    Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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    Keywords: Stock market; Returns distribution; Cascade;

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    Cited by:
    1. Sergio Da Silva, 2004. "Exponentially Damped Levy Flights, Multiscaling, and Exchange Rates," Finance 0405027, EconWPA.
    2. Stavroyiannis, S. & Makris, I. & Nikolaidis, V., 2010. "Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 19-24, January.
    3. Zunino, L. & Tabak, B.M. & Figliola, A. & Pérez, D.G. & Garavaglia, M. & Rosso, O.A., 2008. "A multifractal approach for stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6558-6566.
    4. Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance 0405018, EconWPA.

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