The distribution and scaling of fluctuations for Hang Seng index in Hong Kong stock market

European Physical Journal B

Volumn 20, Issue 4, 2001, Pages 573-579

  Wang, B H ^a,b   Hui, P M ^c  

^a UNIVERSITY OF SCIENCE AND TECHNOLOGY OF CHINA   (China)

^b CCAST WORLD LABORATORY   (China)

^c CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

05.40.Fb Random walks and L vy flights; 89.65.Gh Economics, business, and financial markets

Indexed keywords

EID: 0009458789     PISSN: 14346028     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (21)

1. A. Pagen, J. Empirical Finance 3, 15 (1996).
2. R.N. Mantegna, H.E. Stanley, An Introduction to Econophysics: Correlations and Complexity in Finance (Cambridge University Press, Cambridge, 2000); R.N. Mantegna, Physica A 179, 232 (1991).
3. R.N. Mantegna, H.E. Stanley, An Introduction to Econophysics: Correlations and Complexity in Finance (Cambridge University Press, Cambridge, 2000); R.N. Mantegna, Physica A 179, 232 (1991).
4. R.N. Mantegna, H.E. Stanley, Nature 376, 46 (1995).
5. J.-P. Bouchaud, D. Sornette, J. Phys. I France 4, 863 (1994).
6. A. Arneodo, J.-F. Muzy, D. Sornette, Eur. Phys. J. B 2, 277 (1998).
7. T. Lux, J. Econ. Behavior Organization 33, 143 (1998).
8. T. Lux, J. Econ. Dyn. Control 22, 1 (1997).
9. L. Bachelier, Ann. Sci. École Norm. Sup. 3, 21 (1900).
10. B.B. Mandelbrot, J. Business 36, 394 (1963).
11. P. Lévy, Théorie de l'Addition des Variables Aléatoires (Gauthier-Villars, Paris, 1937).
12. D. Sornette, A. Johansen, J.-P. Bouchaud, J. Phys. I France 6, 167 (1996).
13. R.N. Mantegna, H.E. Stanley, Physica A 239, 255 (1997).
14. P. Gopikrishnan, M. Meyer, L.A.N. Amaral, H.E. Stanley, Eur. Phys. J. B 3, 139 (1998): P. Gopikrishnan, V. Plerou, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 5305 (1999).
15. P. Gopikrishnan, M. Meyer, L.A.N. Amaral, H.E. Stanley, Eur. Phys. J. B 3, 139 (1998): P. Gopikrishnan, V. Plerou, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 5305 (1999).
16. Y. Liu, P. Gopikrishnan, P. Cizeau, M. Meyer, C.-K. Peng, H.E. Stanley, Phys. Rev. E 60, 1390 (1999).
17. R.A. Wood, T.H. McInish, J.K. Ord, J. Finance 40, 723 (1985).
18. L. Harris, J. Financial Economics 16, 99 (1986).
19. A. Admati, P. Pfleiderer, Rev. Financial Studies 1, 3 (1988).
20. P.D. Ekman, J. Futures Markets 12, 365 (1992).
21. Z.F. Huang, Physica A 287, 405 (2000).