2003/01/17 by Julian Juhi-Lian Ting, Juhi-Lian Julian Ting
Computer Science · Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Statistical Mechanics and Entropy #cond-mat.stat-mech #cs.CE #q-fin.ST
paper · pdf · doi:10.1016/s0378-4371(02)01842-3
published as Physica A 324, 285-295 (2003) · 8 pages, 15 figures
openalex publication_date 2003/01/17 · arxiv created 2003/04/06 · arxiv updated 2009/11/30 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28
Volatility, fitting with first order Landau expansion, stationarity, and causality of the Taiwan stock market (TAIEX) are investigated based on daily records. Instead of consensuses that consider stock market index change as a random time series we propose the market change as a dual time series consists of the index and the corresponding volume. Therefore, causalities between these two time series are investigated.