Statistical Properties of Fluctuations: A Method to Check Market Behavior

نویسندگان

  • Prasanta K. Panigrahi
  • Sayantan Ghosh
  • P. Manimaran
  • Dilip P. Ahalpara
چکیده

1 Prasanta K. Panigrahi, Indian Institute of Science Education and Research (Kolkata), Salt Lake City, Kolkata 700 106, India and Physical Research Laboratory, Navrangpura, Ahmedabad 380 009, India. ‖∗∗ 2 Sayantan Ghosh, The Insitute of Mathematical Sciences, C.I.T. Campus, Taramani, Chennai 600 113, India.†† 3 P. Manimaran, Center for Mathematical Sciences, C R Rao Advanced Institute of Mathematics, Statistics and Computer Science, HCU campus, Hyderabad 500 046, India.‡‡ 4 Dilip P. Ahalpara, The Insitute for Plasma Research, Bhat, Gandhinagar, 382 428, India.§§

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Impact of Terrorism, Political System and Exchange Rate Fluctuations on Stock Market Volatility

Terrorism, political system instability and currency rate fluctuations are the three most evident issues of 21st century. In this study, comparative analysis is performed to check the impact of all these issues on PSX Volatility. EGARCH (1,1) approach is used on four different kinds of data collected from 1st January 2000 to 31st December 2015. Terrorist events, FX return fluctuations with rest...

متن کامل

Measure the Fluctuation of the Stock Index According to Approximate Entropy and Standard Deviation

Abstract. The concept of entropy has been widely extended to other fields, including information theory and economic research. The economic financial sector of any country is the supplier of financial resources and real economic activities, which are divided into two parts: the money market and the capital market. In this paper, two criteria, approximate entropy and standard deviation have been...

متن کامل

Behavioral changes in the organization of petroleum exporting countries (OPEC) in the crude oil world market

The main aim of this survey is to investigate the evolution of the OPEC mode of behavior and link the evolution to some important events in the (global) crude oil market. The dominant conclusion of this survey confirms that the primary purpose of OPEC has been to coordinate and unify the petroleum policies of its member countries, in order to secure their individual and collective interests. OP...

متن کامل

Analysis of Chain Reaction Between Two Stock Indices Fluctuations by Statistical Physics Systems

In this paper, we consider the statistical properties of chain reaction of stock indices. The theory of interacting systems and statistical physics are applied to describe and study the fluctuations of two stock indices in a stock market, and the properties of the interacting reaction of the two indices are investigated in the present paper. In this work, stochastic analysis and the two random ...

متن کامل

Modeling the foreign exchange market pressure in the monetary policy of the Iranian economy with a Dynamic Stochastic General Equilibrium approach

Exchange rate fluctuations and the degree of central bank intervention in the foreign exchange market through foreign reserves simultaneously determine the foreign exchange market pressure. This concept is considered as one of the important indicators related to the behavior of monetary authorities in policy-making, which affects other economic variables through foreign trade channels and infla...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:
  • CoRR

دوره abs/0905.4237  شماره 

صفحات  -

تاریخ انتشار 2009