Corpus ID: 10902431

Double Power Law Decay of the Persistence in Financial Markets

@article{Jain2008DoublePL,
  title={Double Power Law Decay of the Persistence in Financial Markets},
  author={S. Jain and T. Yamano},
  journal={arXiv: Statistical Finance},
  year={2008}
}
  • S. Jain, T. Yamano
  • Published 2008
  • Economics, Physics
  • arXiv: Statistical Finance
  • The persistence phenomenon is studied in the Japanese financial market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is applied to historical end of day data from the Japanese stock market during 2002. By studying the time dependence of the spins, we find clear evidence for a double-power law decay of the proportion of shares that remain either above or below ` starting\rq\ values chosen at random. The results are… CONTINUE READING

    Figures and Tables from this paper.

    References

    Publications referenced by this paper.
    SHOWING 1-10 OF 29 REFERENCES
    A guide to first-passage processes
    1423
    Phase Transitions
    678
    Phys
    • 1996
    Physica A 383(1)
    • 2006
    Physica A The European Physical Journal
    • 2006
    A: Math Gen 27
    • 1994
    A: Math Gen 27
    • 1994
    Europhys
    • 1994
    Phys
    • 1996
    A: Math Gen 37
    • 2004