Timeclusterring of stock indicies big fall

Autor:	Aleksandr B. Shapoval, Anna M. Kazaryan
Jazyk:	ruština
Rok vydání:	2012
Předmět:	Computational Theory and Mathematics Modeling and Simulation lcsh:T57-57.97 lcsh:Mathematics lcsh:Applied mathematics. Quantitative methods Economics Monetary economics lcsh:QA1-939 Stock (geology) errors of the first and second kind Computer Science Applications interevent distribution
Zdroj:	Компьютерные исследования и моделирование, Vol 4, Iss 3, Pp 631-638 (2012)
ISSN:	2077-6853 2076-7633
Popis:	The paper estimates the recurrence rate of stock indicies SP100, CAC40, DAX, FTSE, AMEX, ATX, NASDAQ, BEL20. The introduced qunatitative measure of the recurrence rate underlies type I and type II errors. We show that more than three quarters of the indicies falls occur on average during the first quarter of the time between them. This result expands from sufficiently large falls, which are observed on average two times a year, over smaller falls, which occur approximately once 1.5-2 months.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4b8ef2567b160fe1c363f1e0d2595f48 http://crm.ics.org.ru/uploads/crmissues/crm_2012_3/631-638.pdf Zobrazit plný text záznamu