Waiting-time distribution for a stock-market index TeX Export

@misc{citeulike:310630, abstract = {We investigate the waiting-time distribution of the absolute return in the Korean stock-market index KOSPI. We define the waiting time as a time interval during which the normalized absolute return remains continuously below a threshold \$r\_c\$. Through an exponential bin plot, we observe that the waiting-time distribution shows power-law behavior, \$p\_f (t) \sim t^{-\beta}\$, for a range of threshold values. The waiting-time distribution has two scaling regimes, separated by the crossover time \$t\_c \approx 200\$ min. The power-law exponents of the waiting-time distribution decrease when the return time \$\Delta t\$ increases. In the late-time regime, \$t \> t\_c\$, the power-law exponents are independent of the threshold to within the error bars for fixed return time.}, archivePrefix = {arXiv}, author = {Lee, Jae W. and Lee, Kyoung E. and Rikvold, Per A.}, citeulike-article-id = {310630}, citeulike-linkout-0 = {http://arxiv.org/abs/physics/0508218}, citeulike-linkout-1 = {http://arxiv.org/pdf/physics/0508218}, day = {30}, eprint = {physics/0508218}, keywords = {economics, econophysics, financial-networks, powerlaws}, month = {Aug}, posted-at = {2005-09-01 22:22:00}, priority = {2}, title = {Waiting-time distribution for a stock-market index}, url = {http://arxiv.org/abs/physics/0508218}, year = {2005} }

TY - ELEC ID - citeulike:310630 L3 - citeulike-article-id:310630 N2 - We investigate the waiting-time distribution of the absolute return in the Korean stock-market index KOSPI. We define the waiting time as a time interval during which the normalized absolute return remains continuously below a threshold $r_c$. Through an exponential bin plot, we observe that the waiting-time distribution shows power-law behavior, $p_f (t) \sim t^{-\beta}$, for a range of threshold values. The waiting-time distribution has two scaling regimes, separated by the crossover time $t_c \approx 200$ min. The power-law exponents of the waiting-time distribution decrease when the return time $\Delta t$ increases. In the late-time regime, $t > t_c$, the power-law exponents are independent of the threshold to within the error bars for fixed return time. TI - Waiting-time distribution for a stock-market index KW - economics KW - econophysics KW - financial-networks KW - powerlaws AU - Lee, Jae AU - Lee, Kyoung AU - Rikvold, Per PY - 2005/Aug/30/ UR - http://arxiv.org/abs/physics/0508218 ER -