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Proceedings Paper

Persistence and the Nikkei Index
Author(s): S. Jain; T. Yamano
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Paper 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 in a portfolio onto Ising spins. The method is applied to historical end of day data from the Japanese stock market over an arbitrarily chosen period. By studying the time dependence of the spins, we find clear evidence for a power law decay of the proportion of shares that remain either above or below their "starting" values. The results are compared with those resulting from data from the London market, where there is evidence of a distinctive double power law. Preliminary results from the Japanese market indicate similar behavior. We estimate a long time persistence exponent for the underlying financial markets to be 0.5.

Paper Details

Date Published: 5 January 2008
PDF: 4 pages
Proc. SPIE 6802, Complex Systems II, 68020C (5 January 2008); doi: 10.1117/12.769406
Show Author Affiliations
S. Jain, Aston Univ. (United Kingdom)
T. Yamano, Ochanomizu Univ. (Japan)

Published in SPIE Proceedings Vol. 6802:
Complex Systems II
Derek Abbott; Tomaso Aste; Murray Batchelor; Robert Dewar; Tiziana Di Matteo; Tony Guttmann, Editor(s)

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