Double power law decay in the Japanese financial market

Jain, Sudhir and Yamano, T (2019). Double power law decay in the Japanese financial market. International Journal of Productivity Management and Assessment Technologies, 7 (1),

Abstract

The persistence phenomenon is studied in the Japanese financial market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is applied to historical end of day data from the Japanese stock market during 2002. By studying the time dependence of the spins, we find clear evidence for a double-power law decay of the proportion of shares that remain either above or below ‘starting’ values chosen at random. The results are consistent with a recent analysis of the data from the London FTSE100 market. The slopes of the power-laws are also in agreement. We estimate a long time persistence exponent for the underlying Japanese financial market to be 0.5.

Publication DOI: https://doi.org/10.4018/IJPMAT.2019010102
Divisions: Engineering & Applied Sciences > Mathematics
Engineering & Applied Sciences > Systems analytics research institute (SARI)
Additional Information: Copyright © 2017, IGI Global.
Uncontrolled Keywords: Econophysics, Nikkei Index, Non-Equilibrium Dynamics, Ising Model, Persistence
Full Text Link: https://arxiv.o ... g/abs/0803.0436
Related URLs: https://www.igi ... ssessment/45937 (Publisher URL)
Accepted Date: 2019-01
Published Date: 2019-01-01
Authors: Jain, Sudhir
Yamano, T

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