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Self-averaging phenomenon and multiscaling in Hong Kong stock market

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  • Bershadskii, A.

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.

Suggested Citation

  • Bershadskii, A., 2003. "Self-averaging phenomenon and multiscaling in Hong Kong stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 317(3), pages 591-596.
    • Handle: RePEc:eee:phsmap:v:317:y:2003:i:3:p:591-596
    DOI: 10.1016/S0378-4371(02)01339-0
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    Cited by:

    1. Stavroyiannis, Stavros & Babalos, Vassilios & Bekiros, Stelios & Lahmiri, Salim & Uddin, Gazi Salah, 2019. "The high frequency multifractal properties of Bitcoin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 62-71.
    2. 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.
    3. 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.
    4. Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance 0405018, University Library of Munich, Germany.
    5. Zunino, Luciano & Figliola, Alejandra & Tabak, Benjamin M. & Pérez, Darío G. & Garavaglia, Mario & Rosso, Osvaldo A., 2009. "Multifractal structure in Latin-American market indices," Chaos, Solitons & Fractals, Elsevier, vol. 41(5), pages 2331-2340.
    6. 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.

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