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articleNo Access
PERSISTENCE PROBABILITY ANALYZED ON THE TAIWAN STOCK MARKET
- I.-CHUN CHEN,
- HUNG-JUNG CHEN, and
- HSEN-CHE TSENG
International Journal of Modern Physics B10 Sep 2009
Preview 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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