Abstract
The minute-by-minute move of the Hang Seng index (HSI) data over a 4-yr period is analyzed and shown to possess similar statistical features as those of other markets. Based on a mathematical theorem, we derive an analytic form for the probability distribution function (PDF) of index moves from fitted functional forms of certain conditional averages of the time series. Furthermore, following a recent work by Stolovitzky and Ching, we show that the observed PDF can be reproduced by a Langevin process with a move-dependent noise amplitude. The form of the Langevin equation can be determined directly from the market data.
Original language | English |
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Pages (from-to) | 444-450 |
Number of pages | 7 |
Journal | Physica A: Statistical Mechanics and its Applications |
Volume | 288 |
Issue number | 1-4 |
DOIs | |
Publication status | Published - 15 Dec 2000 |