Related papers: Waiting-time distribution for a stock-market index
In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we found that while the index during the late 1990s showed a…
The herd behaviors of returns for the won-dollar exchange rate and the KOSPI are analyzed in Korean financial markets. It is shown that the probability distribution $P(R)$ of price returns $R$ for three values of the herding parameter tends…
This paper investigates the rank distribution, cumulative probability, and probability density of price returns for the stocks traded in the KSE and the KOSDAQ market. This research demonstrates that the rank distribution is consistent…
We consider returns of two Korean stock market indices, KOSPI and KOSDAQ index. Central parts of the probability distribution function of returns are well fitted by the Lorentzian distribution function. However, tail parts of the…
The herd behavior of returns is investigated in Korean futures exchange market. It is obtained that the probability distribution of returns for three types of herding parameter scales as a power law $R^{-\beta}$ with the exponents $…
We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times…
We study the temporal evolution of the holding-time distribution of bitcoins and find that the average distribution of holding-time is a heavy-tailed power law extending from one day to over at least $200$ weeks with an exponent…
Waiting time distribution and the zero-frequency full counting statistics of unidirectional electron transport through a double quantum dot molecule attached to spin-polarized leads are analyzed using the quantum master equation. The…
We investigate multifractality in the Korean stock-market index KOSPI. The generalized $q$th order height-height correlation function shows multiscaling properties. There are two scaling regimes with a crossover time around $t_c =40$ min.…
This paper systematically conducts an analysis of the composite index 1-min datasets over the 17-year period (2005-2021) for both the Shanghai and Shenzhen stock exchanges. To reveal the difference between the Chinese and the mature stock…
The goal of developing a firmer theoretical understanding of inhomogenous temporal processes -- in particular, the waiting times in some collective dynamical system -- is attracting significant interest among physicists. Quantifying the…
We develop a general theory of the time distribution of quantum events, applicable to a large class of problems such as arrival time, dwell time and tunneling time. A stopwatch ticks until an awaited event is detected, at which time the…
We study the distribution of fluctuations over a time scale $\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the…
We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between…
In this paper, we describe a newly discovered statistical property of time series data for daily price changes. We conducted quantitative investigation of the {\it calm-time intervals} of price changes for 800 companies listed in the Tokyo…
We investigate the herd behavior of returns for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution $P(R)$ of returns $R$ satisfies the power-law behavior $P(R) \simeq R^{-\beta}$…
We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We…
Extreme events can come either from point processes, when the size or energy of the events is above a certain threshold, or from time series, when the intensity of a signal surpasses a threshold value. We are particularly concerned by the…
An analytical study of the return time distribution of extreme events for stochastic processes with power-law correlation has been carried on. The calculation is based on an epsilon-expansion in the correlation exponent:…
We investigate the distribution function and the cumulative probability for Korean household incomes, i.e., the current, labor, and property incomes. For our case, the distribution functions are consistent with a power law. It is also…