Waiting-time distribution for a stock-market index

Simple item page
dc.creatorLee, Jae Woo
dc.creatorLee, Kyoung Eun
dc.creatorRikvold, Per Arne
dc.date2005-08-30
dc.date.accessioned2026-07-07T12:07:38Z
dc.date.available2026-07-07T12:07:38Z
dc.descriptionWe investigate the waiting-time distribution of the absolute return in the Korean stock-market index KOSPI. We define the waiting time as a time interval during which the normalized absolute return remains continuously below a threshold $r_c$. Through an exponential bin plot, we observe that the waiting-time distribution shows power-law behavior, $p_f (t) \sim t^{-β}$, for a range of threshold values. The waiting-time distribution has two scaling regimes, separated by the crossover time $t_c \approx 200$ min. The power-law exponents of the waiting-time distribution decrease when the return time $Δt$ increases. In the late-time regime, $t > t_c$, the power-law exponents are independent of the threshold to within the error bars for fixed return time.
dc.identifierhttps://arxiv.org/abs/physics/0508218
dc.identifierhttp://arxiv.org/abs/physics/0508218
dc.identifierJournal of Korean Physical Society, 48, S123~S126(2006)
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209035
dc.subjectPhysics and Society
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleWaiting-time distribution for a stock-market index
dc.typetext

Files

Collections

arXiv