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Note on Two-Phase Phenomena in Financial Markets |
| JIANG Shi-Mei1;CAI Shi-Min1;ZHOU Tao1,2,3;ZHOU Pei-Ling1 |
| 1Department of Electronic Science and Technology, University of Science and Technology of China, Hefei 2300262Department of Modern Physics, University of Science and Technology of China, Hefei 2300263Department of Physics, University of Fribourg, Chemin du Muse 3, CH-1700 Fribourg, Switzerland |
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JIANG Shi-Mei, CAI Shi-Min, ZHOU Tao et al 2008 Chin. Phys. Lett. 25 2319-2322 |
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Abstract The two-phase behaviour in financial markets actually means the bifurcation phenomenon, which represents the change of the conditional probability from an unimodal to a bimodal distribution. We investigate the bifurcation phenomenon in Hang--Seng index. It is observed that the bifurcation phenomenon in financial index is not universal, but specific under certain
conditions. For Hang--Seng index and randomly generated time series, the phenomenon just emerges when the power-law exponent of absolute increment distribution is between 1 and 2 with appropriate period. Simulations on a randomly generated time series suggest the bifurcation phenomenon itself is subject to the statistics of absolute increment, thus it may not be able to reflect essential financial behaviours. However, even under the same distribution of absolute increment, the range where bifurcation phenomenon occurs is far different from real market to artificial data, which may reflect certain market information.
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| Keywords:
89.90.+n
87.10.+e
89.65.Gh
89.75.Da
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Received: 26 February 2008
Published: 31 May 2008
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| PACS: |
89.90.+n
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(Other topics in areas of applied and interdisciplinary physics)
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87.10.+e
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89.65.Gh
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(Economics; econophysics, financial markets, business and management)
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89.75.Da
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(Systems obeying scaling laws)
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