Scaling in stock market data : stable laws and beyond

Scaling in stock market data : stable laws

A pr 2 00 8 Universal price impact functions of individual trades in an order - driven market WEI - XING ZHOU

The trade size ω has direct impact on the price formation of the stock traded. Econophys-ical analyses of transaction data for the US and Australian stock markets have uncovered market-specific scaling laws, where a master curve of price impact can be obtained in each market when stock capitalization C is included as an argument in the scaling relation. However, the rationale of introducing sto...

Large deviation and self-similarity analysis of graphs: DAX stock prices

Two methods for analyzing graphs such as those occurring in the stock market, geographical profiles and rough surfaces, are investigated. They are based on different scaling laws for the distributions of jumps as a function of the lag. The first is a large deviation analysis, and the second is based on the concept of a self-similar process introduced by Mandelbrot and van Ness. We show that lar...

The Effects of Interest Rates Volatility on Stock Returns: Evidence from Bangladesh

The paper investigates the effects of interest rates on stock market performance by using monthly time series data for the economy of Bangladesh over the period of 1991 to 2012. A wide range of econometric techniques have been employed to analyze the relationship between the interest rate and stock market return. The study reveals a stable and significant long run relationship between the varia...

True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence

In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov-switching multifractal model (MSM). In order to see how well the estimated models capture the temporal dependence of the data, we estimate and compare the scaling ex...