Double power law decay in the Japanese financial market


The authors study the persistence phenomenon in the Japanese stock 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 financial market. By studying the time dependence of the spins, they 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. The authors estimate a long time persistence exponent for the underlying Japanese financial market to be 0.5. Furthermore, they argue that the presence of a double power law in the decay of the persistence probability could be the signature of the presence of both speculative (short-term) and long-term traders in the market.

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Divisions: College of Engineering & Physical Sciences > School of Informatics and Digital Engineering > Mathematics
College of Engineering & Physical Sciences > Systems analytics research institute (SARI)
Additional Information: Copyright © 2017, IGI Global.
Uncontrolled Keywords: Econophysics, Nikkei Index, Non-Equilibrium Dynamics, Ising Model, Persistence
Publication ISSN: 2160-9845
Full Text Link: https://arxiv.o ... g/abs/0803.0436
Related URLs: https://www.igi ... ssessment/45937 (Publisher URL)
PURE Output Type: Article
Published Date: 2019-01-01
Accepted Date: 2017-10-06
Authors: Jain, Sudhir
Yamano, T



Version: Accepted Version

Access Restriction: Restricted to Repository staff only

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