Study on the WaitingTimes in Chinese Stock Markets
نویسندگان
چکیده
In this paper, we investigate the statistical properties of the waiting times between two successive price changes above a fixed threshold (or a fixed point) for the indices of Shanghai Stock Exchange and Shenzhen Stock Exchange. The database is from the indices of Shanghai and Shenzhen in the 10-year period from January 1997 to December 2006, and the empirical research shows that the distribution of the waiting times for price changes follows power-law decay. Further, for different values of the threshold, we discuss the conditional distributions of returns for the indices of Shanghai and Shenzhen. Key-Words: waiting times; power-law distribution; price changes; returns
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