Statistical Properties of Fluctuations: A Method to Check Market Behavior
Statistical Finance
2010-07-26 v1 Data Structures and Algorithms
Data Analysis, Statistics and Probability
Abstract
We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical and locally structured variations. For that purpose, we make use of Daubechies wavelet and characterize the fractal behavior of the returns using a recently developed wavelet based fluctuation analysis method. the returns show a fat-tail distribution as also weak non-statistical behavior. We have also carried out continuous wavelet as well as Fourier power spectral analysis to characterize the periodic nature and correlation properties of the time series.
Cite
@article{arxiv.0905.4237,
title = {Statistical Properties of Fluctuations: A Method to Check Market Behavior},
author = {Prasanta K. Panigrahi and Sayantan Ghosh and P. Manimaran and Dilip P. Ahalpara},
journal= {arXiv preprint arXiv:0905.4237},
year = {2010}
}
Comments
9 pages, 6 figures, Econophys-IV, Kolkata, 2009