Power law for the calm-time interval of price changes
AbstractIn this paper, we describe a newly discovered statistical property of time series data for daily price changes. We investigated quantitatively the calm-time intervals of price changes for 800 companies listed in the Tokyo Stock Exchange, and for the Nikkei 225 index in the 27-year period from January 1975 to December 2001. A calm-time interval is defined as the interval between two successive price changes above a fixed threshold. We found that the calm-time interval distribution of price changes obeys a power-law decay. Furthermore, we show that the power-law exponent monotonically decreases with respect to the threshold.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 336 (2004)
Issue (Month): 3 ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Econophysics; Stock price changes; Calm-time interval; Power-laws;
Other versions of this item:
- Taisei Kaizoji & Michiyo Kaizoji, 2003. "Power law for the calm-time interval of price changes," Papers cond-mat/0312560, arXiv.org, revised Mar 2006.
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