Diffusion entropy analysis on the scaling behavior of financial markets
| dc.creator | Cai, Shi-Min | |
| dc.creator | Zhou, Pei-Ling | |
| dc.creator | Yang, Hui-Jie | |
| dc.creator | Yang, Chun-Xia | |
| dc.creator | Wang, Bing-Hong | |
| dc.creator | Zhou, Tao | |
| dc.date | 2005-08-17 | |
| dc.date.accessioned | 2026-07-07T06:29:06Z | |
| dc.date.available | 2026-07-07T06:29:06Z | |
| dc.description | In this paper the diffusion entropy technique is applied to investigate the scaling behavior of financial markets. The scaling behaviors of four representative stock markets, Dow Jones Industrial Average, Standard&Poor 500, Heng Seng Index, and Shang Hai Stock Synthetic Index, are almost the same; with the scale-invariance exponents all in the interval $[0.92, 0.95]$. These results provide a strong evidence of the existence of long-rang correlation in financial time series, thus several variance-based methods are restricted for detecting the scale-invariance properties of financial markets. In addition, a parsimonious percolation model for stock markets is proposed, of which the scaling behavior agrees with the real-life markets well. | |
| dc.description | 5 pages, 3 figures | |
| dc.identifier | https://arxiv.org/abs/physics/0508117 | |
| dc.identifier | http://arxiv.org/abs/physics/0508117 | |
| dc.identifier | Phyisca A 367: 337-344 (2006) | |
| dc.identifier | doi:10.1016/j.physa.2005.12.004 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/97918 | |
| dc.subject | Physics and Society | |
| dc.title | Diffusion entropy analysis on the scaling behavior of financial markets | |
| dc.type | text |