2008/03/04 by S. Jain, Jain, S., Takuya Yamano +2
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Network Analysis Techniques #Complex Systems and Time Series Analysis #Data Analysis #FOS: Economics and business #FOS: Physical sciences #Opinion Dynamics and Social Influence #Physics and Society (physics.soc-ph) #Statistical Finance (q-fin.ST) #Statistics and Probability (physics.data-an) #physics.data-an #physics.soc-ph #q-fin.ST
paper · pdf · doi:10.48550/arxiv.0803.0436
9 pages, 2 figures
arxiv created 2008/03/04 · openalex publication_date 2008/03/04 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The persistence phenomenon is studied in the Japanese financial market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is applied to historical end of day data from the Japanese stock market during 2002. By studying the time dependence of the spins, we find clear evidence for a double-power law decay of the proportion of shares that remain either above or below ` starting\rq values chosen at random. The results are consistent with a recent analysis of the data from the London FTSE100 market. The slopes of the power-laws are also in agreement. We estimate a long time persistence exponent for the underlying Japanese financial market to be 0.5.