Self-averaging phenomenon and multiscaling in Hong Kong stock market
AbstractIt 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 317 (2003)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Stock market; Returns distribution; Cascade;
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance 0405018, EconWPA.
- Matsushita, Raul & Gleria, Iram & Figueiredo, Annibal & Rathie, Pushpa & Da Silva, Sergio, 2004.
"Exponentially damped Lévy flights, multiscaling, and exchange rates,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 333(C), pages 353-369.
- Sergio Da Silva, 2004. "Exponentially Damped Levy Flights, Multiscaling, and Exchange Rates," Finance 0405027, EconWPA.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.