Inverse statistics and information content

Autor:	Meysam Bolgorian, Gholamreza Jafari, Haleh Ebadi
Rok vydání:	2010
Předmět:	Statistics and Probability Fractional Brownian motion Price index Financial market Statistics Econometrics Inverse Probability distribution Condensed Matter Physics Investment (macroeconomics) Emerging markets Measure (mathematics) Mathematics
Zdroj:	Physica A: Statistical Mechanics and its Applications. 389:5439-5446
ISSN:	0378-4371
DOI:	10.1016/j.physa.2010.08.006
Popis:	Inverse statistics analysis studies the distribution of investment horizons to achieve a predefined level of return. This distribution provides a maximum investment horizon which determines the most likely horizon for gaining a specific return. There exists a significant difference between inverse statistics of financial market data and a fractional Brownian motion (fBm) as an uncorrelated time-series, which is a suitable criteria to measure information content in financial data. In this paper we perform this analysis for the DJIA and S&P500 as two developed markets and Tehran price index (TEPIX) as an emerging market. We also compare these probability distributions with fBm probability, to detect when the behavior of the stocks are the same as fBm.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::834010ed852a762632d26043de6188b1 https://doi.org/10.1016/j.physa.2010.08.006 Zobrazit plný text záznamu Full Text from ScienceDirect