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- Title
Persistence Probability in Financial Dynamics.
- Authors
Zheng, B.
- Abstract
The persistence probability in the dynamics of a German stock index (DAX) is investigated using daily data from 1959 to 1997 and minute-to-minute records from 1994 to 1997. Scaling behavior is found extending at least from half an hour to some months, and it is characterized by two exponents. One exponent originates from the evolution of the background.
- Subjects
GERMANY; STOCK price indexes; PROBABILITY theory
- Publication
Modern Physics Letters B, 2002, Vol 16, Issue 21, p775
- ISSN
0217-9849
- Publication type
Article
- DOI
10.1142/S0217984902004494