Persistence and the Nikkei Index

S. Jain*, T. Yamano

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

The persistence phenomenon is studied in the Japanese financial market by using a novel mapping of the time evolution of the values of shares in a portfolio onto Ising spins. The method is applied to historical end of day data from the Japanese stock market over an arbitrarily chosen period. By studying the time dependence of the spins, we find clear evidence for a power law decay of the proportion of shares that remain either above or below their "starting" values. The results are compared with those resulting from data from the London market, where there is evidence of a distinctive double power law. Preliminary results from the Japanese market indicate similar behavior. We estimate a long time persistence exponent for the underlying financial markets to be 0.5.

Original languageEnglish
Title of host publicationProceedings of SPIE - The International Society for Optical Engineering
Volume6802
DOIs
Publication statusPublished - 31 Mar 2008
EventComplex Systems II - Canberra, United Kingdom
Duration: 5 Dec 20077 Dec 2007

Conference

ConferenceComplex Systems II
CountryUnited Kingdom
CityCanberra
Period5/12/077/12/07

Fingerprint

time dependence
proportion
exponents
decay
estimates
Financial markets

Keywords

  • Financial markets
  • FTSE100
  • Nikkei
  • Persistence

Cite this

Jain, S., & Yamano, T. (2008). Persistence and the Nikkei Index. In Proceedings of SPIE - The International Society for Optical Engineering (Vol. 6802). [68020C] https://doi.org/10.1117/12.769406
Jain, S. ; Yamano, T. / Persistence and the Nikkei Index. Proceedings of SPIE - The International Society for Optical Engineering. Vol. 6802 2008.
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Jain, S & Yamano, T 2008, Persistence and the Nikkei Index. in Proceedings of SPIE - The International Society for Optical Engineering. vol. 6802, 68020C, Complex Systems II, Canberra, United Kingdom, 5/12/07. https://doi.org/10.1117/12.769406

Persistence and the Nikkei Index. / Jain, S.; Yamano, T.

Proceedings of SPIE - The International Society for Optical Engineering. Vol. 6802 2008. 68020C.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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Jain S, Yamano T. Persistence and the Nikkei Index. In Proceedings of SPIE - The International Society for Optical Engineering. Vol. 6802. 2008. 68020C https://doi.org/10.1117/12.769406