Affiliation:
1. Dhirubhai Ambani Institute of Information and Communication Technology, Gandhinagar 382007, Gujarat, India
Abstract
From the stock markets of six countries with high GDP, we study the stock indices, S&P 500 (NYSE, USA), SSE Composite (SSE, China), Nikkei (TSE, Japan), DAX (FSE, Germany), FTSE 100 (LSE, Britain) and NIFTY (NSE, India). The daily mean growth of the stock values is exponential. The daily price fluctuations about the mean growth are Gaussian, but with a nonzero asymptotic convergence. The growth of the monthly average of stock values is statistically self-similar to their daily growth. The monthly fluctuations of the price follow a Wiener process, with a decline of the volatility. The mean growth of the daily volume of trade is exponential. These observations are globally applicable and underline regularities across global stock markets.
Publisher
World Scientific Pub Co Pte Lt
Subject
Computational Theory and Mathematics,Computer Science Applications,General Physics and Astronomy,Mathematical Physics,Statistical and Nonlinear Physics
Cited by
2 articles.
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1. Scaling analysis of price by multi-scale Shannon entropy;International Journal of Modern Physics C;2022-09-29
2. Global dynamics of GDP and trade;International Journal of Modern Physics C;2022-08-17