Fluctuations Of WIG-the index of Warsaw Stock Exchange. Preliminary studies

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A time series that represents daily values of the WIG index (the main index of Warsaw Stock Exchange) over last 5 years is examined. Non-Gaussian features of distributions of fluctuations, namely returns, over a time scale are considered. Some general properties like exponents of the long range correlation estimated by averaged volatility and detrended fluctuations analysis (DFA) as well as exponents describing a decay of tails of the cumulative distributions are found. Closing, the Zipf analysis for the WIG index time series translated into three letter text is presented.
10 pages and 15 files with figures

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Statistical Mechanics, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/208666

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0010190
 http://arxiv.org/abs/cond-mat/0010190

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arXiv