Power law for the calm-time interval of price changes
نویسندگان
چکیده
In this paper, we describe a newly discovered statistical property of time series data for daily price changes. We conducted quantitative investigation of the 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.
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