Timeclusterring of stock indicies big fall
| Autor: | Anna M. Kazaryan, Aleksandr B. Shapoval |
|---|---|
| Jazyk: | ruština |
| Rok vydání: | 2012 |
| Předmět: | |
| Zdroj: | Компьютерные исследования и моделирование, Vol 4, Iss 3, Pp 631-638 (2012) |
| Druh dokumentu: | article |
| ISSN: | 2076-7633 2077-6853 |
| DOI: | 10.20537/2076-7633-2012-4-3-631-638 |
| 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: | Directory of Open Access Journals |
| Externí odkaz: |
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