Statistical properties of daily ensemble variables in the Chinese stock markets
Gao-Feng Gu, Wei-Xing Zhou
Abstract
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and the standard deviation of the ensemble daily price returns of a portfolio of stocks traded in China's stock markets on a given day. The distribution of the daily ensemble returns has an exponential form in the center and power-law tails, while the variety distribution is log-Gaussian in the bulk followed by a power-law tail for large varieties. Based on detrended fluctuation analysis, R/S analysis and modified R/S analysis, we find evidence of long memory in the ensemble returns and strong evidence of long memory in the evolution of variety.
Create a lesson
Related papers
Distinct routes to phase transitions in spatial activation systems
Jialu Zhang, Guanyu Zhang, Leyang Xue et al.
District-Level Food Environment Indicators and Social Vulnerability in São Paulo
Pedro Lemes Sixel Lobo, Eric Tokuda, Kuruvilla Joseph Abraham et al.
Prompt Sensitivity of Generative Agents: Evidence from an Epidemic Model
Ross Williams, Niyousha Hosseinichimeh
Giant strongly biconnected components of directed networks: a generating function approach
Minsoo Yang, Reinhard Laubenbacher, Byungjoon Min
(k,n)-core percolation on hypergraphs with anchor nodes
Hoseung Jang, Byungjoon Min, Ginestra Bianconi
The complex relationship between anti-immigrant sentiment and exposure in the Netherlands
Benedikt Meylahn, Tommaso Giommoni, Mike Lees et al.