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Critical dynamics and global persistence exponent on Taiwan financial market

I-Chun Chen·Hsen-Che Tseng·Ping-Cheng Li·Hung-Jung Chen
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Abstract

We investigated the critical dynamics on the daily Taiwan stock exchange index (TSE) from 1971 to 2005, and the 5-min intraday data from 1996 to 2005. A global persistence exponent $θ_{p}$ was defined for non-equilibrium critical phenomena \cite{Janssen,Majumdar}, and describing dynamic behavior in an economic index \cite{Zheng}. In recent numerical analysis studies of literatures, it is illustrated that the persistence probability has a universal scaling form $P(t) \sim t^{-θ_{p}}$ \cite{Zheng1}. In this work, we analyzed persistence properties of universal scaling behavior on Taiwan financial market, and also calculated the global persistence exponent $θ_{p}$. We found our analytical results in good agreement with the same universality.

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I-Chun Chen, Hsen-Che Tseng, Ping-Cheng Li, Hung-Jung Chen. 2006-08-01. Critical dynamics and global persistence exponent on Taiwan financial market. https://arxiv.org/abs/physics/0608004

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