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PERSISTENCE PROBABILITY ANALYZED ON THE TAIWAN STOCK MARKET

I.-CHUN CHEN

Nan Kai Institute of Technology, Taiwan

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HUNG-JUNG CHEN

Department of Physics, National Chung Hsing University, 250 Kuo Kuang Road, Taichung 402, Taiwan

Corresponding author.

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, and

HSEN-CHE TSENG

Department of Physics, National Chung Hsing University, 250 Kuo Kuang Road, Taichung 402, Taiwan

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https://doi.org/10.1142/S0217979209053175Cited by:3 (Source: Crossref)

Abstract

We report a numerical study of the Taiwan stock market, in which we used three data sources: the daily Taiwan stock exchange index (TAIEX) from January 1983 to May 2006, the daily OTC index from January 1995 to May 2006, and the one-min intraday data from February 2000 to December 2003. Our study is based on numerical estimates of persistence exponent θ_p, Hurst exponent H₂, and fluctuation exponent h₂. We also discuss the results concerning persistence probability P(t), qth-order price–price correlation function G_q(t), and qth-order normalized fluctuation function f_q(t) among these indices.

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