Stock Market Scale by Artificial Insymmetrised Patterns

2002/07/09 by Danuta Makowiec, Makowiec, Danuta
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #Statistical Finance (q-fin.ST) #Statistical Mechanics (cond-mat.stat-mech)

paper · pdf · doi:10.48550/arxiv.cond-mat/0207227

openalex publication_date 2002/07/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to the relation between artificial insymmetrised patterns (AIP) and time series, stationary and temporary properties of stock market indices are identified. By filtering extreme events it is found that fluctuations are self-similar. Snap-shots in time lead to estimates for a temporary state of a market with respect to its history. It appears that close to a crash the AIP representation of a system becomes frozen.

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