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Power law for the calm-time interval of price changes

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  • Taisei Kaizoji
  • Michiyo Kaizoji

Abstract

In this paper, we describe a newly discovered statistical property of time series data for daily price changes. We conducted quantitative investigation of the {\it calm-time intervals} of price changes for 800 companies listed in the Tokyo Stock Exchange, and for the Nikkei 225 index over a 27-year period from January 4, 1975 to December 28, 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 decreases monotonically with respect to the threshold. Keyword: econophysics, stock price changes, calm time interval, power-laws; PACS: 89.90.+n; 05.40.Df;

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Paper provided by arXiv.org in its series Papers with number cond-mat/0312560.

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Date of creation: Dec 2003
Date of revision: Mar 2006
Publication status: Published in Physica A 336 (2004) 563-570
Handle: RePEc:arx:papers:cond-mat/0312560

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Cited by:
  1. Shapoval, A., 2010. "Prediction problem for target events based on the inter-event waiting time," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 389(22), pages 5145-5154.
  2. Wen-Jie Xie & Zhi-Qiang Jiang & Wei-Xing Zhou, 2012. "Extreme value statistics and recurrence intervals of NYMEX energy futures volatility," Papers 1211.5502, arXiv.org.
  3. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance, EconWPA 0501005, EconWPA.
  4. Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 362(2), pages 225-239.
  5. Xie, Wen-Jie & Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2014. "Extreme value statistics and recurrence intervals of NYMEX energy futures volatility," Economic Modelling, Elsevier, Elsevier, vol. 36(C), pages 8-17.
  6. Tabak, B.M. & Takami, M.Y. & Cajueiro, D.O. & Petitinga, A., 2009. "Quantifying price fluctuations in the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 388(1), pages 59-62.
  7. Ni, Xiao-Hui & Jiang, Zhi-Qiang & Gu, Gao-Feng & Ren, Fei & Chen, Wei & Zhou, Wei-Xing, 2010. "Scaling and memory in the non-Poisson process of limit order cancelation," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 389(14), pages 2751-2761.

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