Power Law Analysis of Financial Index Dynamics
نویسندگان
چکیده
منابع مشابه
analysis of power in the network society
اندیشمندان و صاحب نظران علوم اجتماعی بر این باورند که مرحله تازه ای در تاریخ جوامع بشری اغاز شده است. ویژگیهای این جامعه نو را می توان پدیده هایی از جمله اقتصاد اطلاعاتی جهانی ، هندسه متغیر شبکه ای، فرهنگ مجاز واقعی ، توسعه حیرت انگیز فناوری های دیجیتال، خدمات پیوسته و نیز فشردگی زمان و مکان برشمرد. از سوی دیگر قدرت به عنوان موضوع اصلی علم سیاست جایگاه مهمی در روابط انسانی دارد، قدرت و بازتولید...
15 صفحه اولA signature of power law network dynamics
Can one hear the 'sound' of a growing network? We address the problem of recognizing the topology of evolving biological or social networks. Starting from percolation theory, we analytically prove a linear inverse relationship between two simple graph parameters—the logarithm of the average cluster size and logarithm of the ratio of the edges of the graph to the theoretically maximum number of ...
متن کاملDouble Power Law Decay of the Persistence in Financial Markets
Abstract The persistence phenomenon is studied in the Japanese financial market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is applied to historical end of day data from the Japanese stock market during 2002. By studying the time dependence of the spins, we find clear evidence for a double-power law decay of the ...
متن کاملNew statistic for financial return distributions: power-law or exponential?
We introduce a new statistical tool (the TP-statistic and TE-statistic) designed specifically to compare the behavior of the sample tail of distributions with power-law and exponential tails as a function of the lower threshold u. One important property of these statistics is that they converge to zero for power laws or for exponentials correspondingly, regardless of the value of the exponent o...
متن کاملFitting the Log Periodic Power Law to financial crashes: a critical analysis∗
A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or ‘crashes’, contain parameters that are confined within certain ranges. The mechanism that has been claimed as underlying the LPPL, is based on influence percolation and a martingale condition. This paper examines these claims and the robustness of the LPPL for capt...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Discrete Dynamics in Nature and Society
سال: 2012
ISSN: 1026-0226,1607-887X
DOI: 10.1155/2012/120518