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Fluctuations Of WIG-the index of Warsaw Stock Exchange. Preliminary studies

Danuta Makowiec·Piotr Gnacinski
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Abstract

A time series that represents daily values of the WIG index (the main index of Warsaw Stock Exchange) over last 5 years is examined. Non-Gaussian features of distributions of fluctuations, namely returns, over a time scale are considered. Some general properties like exponents of the long range correlation estimated by averaged volatility and detrended fluctuations analysis (DFA) as well as exponents describing a decay of tails of the cumulative distributions are found. Closing, the Zipf analysis for the WIG index time series translated into three letter text is presented.

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Danuta Makowiec, Piotr Gnacinski. 2000-10-13. Fluctuations Of WIG-the index of Warsaw Stock Exchange. Preliminary studies. https://arxiv.org/abs/cond-mat/0010190

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