Statistical analysis of 5 s index data of the Budapest Stock Exchange

Imre M. Jánosi, Balázs Janecskó, Imre Kondor

Research output: Contribution to journalConference article

32 Citations (Scopus)

Abstract

A statistical analysis of the Budapest Stock Index (BUX) is presented. The high time resolution (5 s sampling) makes it possible to extract information on market functioning which does not emerge from daily data. The main results are as follows: from a statistical point of view the large drop in October 1997 was a `normal' event. Strong autocorrelation has been detected in the volatility and market activity data. Detrended fluctuation analysis reveals `superdiffusive' scaling without persistence. Finally, we report on a simple method for mapping local trends to represent sequences in order to obtain pattern statistics.

Original languageEnglish
Pages (from-to)111-124
Number of pages14
JournalPhysica A: Statistical Mechanics and its Applications
Volume269
Issue number1
DOIs
Publication statusPublished - Jul 1 1999
EventProceedings of the 1998 International Workshop on Econophysics and Statistical Finance - Palermo, Italy
Duration: Sep 28 1998Sep 30 1998

    Fingerprint

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics

Cite this