Statistical Analysis of the Stock Index of the Budapest Stock Exchange

1997/11/03 by J. Rotyis, Rotyis, J., Gábor Vattay +1 · 1 citation
Economics, Econometrics and Finance · Decision Sciences · #Complex Systems and Time Series Analysis #Stock Market Forecasting Methods

paper · pdf · doi:10.48550/arxiv.cond-mat/9711008

Abstract

Scaling properties of the BUX index are similar to those observed in other parts of the world. The main difference is that the traditional quantities like volatility, growth and autocorrelation of returns follows more closely the assumptions of the traditional stock market theory developed by Bachelier and by Black and Scholes.

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• On the nature of the stock market: Simulations and experiments

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