Critical dynamics and global persistence exponent on Taiwan financial market

Hsen-Che Tseng, Ping-Cheng Li, and Hung-Jung Chen Physics Department, National Chung Hsing University, Taichung, Taiwan R.O.C. Abstract We investigated the critical dynamics on the daily Taiwan stock exchange index (TSE) from 1971 to 2005, and the 5-min intraday data from 1996 to 2005. A global persistence exponent θp was defined for non-equilibrium critical phenomena [1, 2], and describing dynamic behavior in an economic index [3]. In recent numerical analysis studies of literatures, it is illustrated that the persistence probability has a universal scaling form P (t) ∼ t−θp [4]. In this work, we analyzed persistence properties of universal scaling behavior on Taiwan financial market, and also calculated the global persistence exponent θp. We found our analytical results in good agreement with the same universality.