Critical dynamics and global persistence exponent on Taiwan financial market
| dc.creator | Chen, I-Chun | |
| dc.creator | Tseng, Hsen-Che | |
| dc.creator | Li, Ping-Cheng | |
| dc.creator | Chen, Hung-Jung | |
| dc.date | 2006-08-01 | |
| dc.date.accessioned | 2026-07-07T12:07:49Z | |
| dc.date.available | 2026-07-07T12:07:49Z | |
| dc.description | We investigated the critical dynamics on the daily Taiwan stock exchange index (TSE) from 1971 to 2005, and the 5-min intraday data from 1996 to 2005. A global persistence exponent $θ_{p}$ was defined for non-equilibrium critical phenomena \cite{Janssen,Majumdar}, and describing dynamic behavior in an economic index \cite{Zheng}. In recent numerical analysis studies of literatures, it is illustrated that the persistence probability has a universal scaling form $P(t) \sim t^{-θ_{p}}$ \cite{Zheng1}. In this work, we analyzed persistence properties of universal scaling behavior on Taiwan financial market, and also calculated the global persistence exponent $θ_{p}$. We found our analytical results in good agreement with the same universality. | |
| dc.description | 10 pages, 9 figures, APFA5 conference | |
| dc.identifier | https://arxiv.org/abs/physics/0608004 | |
| dc.identifier | http://arxiv.org/abs/physics/0608004 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/209104 | |
| dc.subject | Data Analysis, Statistics and Probability | |
| dc.subject | Computational Physics | |
| dc.subject | Statistical Finance | |
| dc.title | Critical dynamics and global persistence exponent on Taiwan financial market | |
| dc.type | text |