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Waiting-time distribution for a stock-market index

Jae Woo Lee·Kyoung Eun Lee·Per Arne Rikvold
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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, $p_f (t) \sim t^{-β}$, 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 $Δt$ 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.

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Jae Woo Lee, Kyoung Eun Lee, Per Arne Rikvold. 2005-08-30. Waiting-time distribution for a stock-market index. https://arxiv.org/abs/physics/0508218

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