Statistical properties of German Dax and Chinese indices

Peculiar statistical properties of Chinese stock indices in bull and bear market phases

“…4), in which the intraday pattern is removed (the intraday pattern is discussed in the Appendix). As is reported [3,4,7,15], the autocorrelation function of |r(t)| obeys a power-law decay. In Fig.…”

“…Recent studies reported that the Chinese stock markets show many similar behaviors as mature markets [13][14][15].…”

Time-reversal asymmetry in financial systems

“…This is shown in the fifth sector of Table 1. In fact, as an emerging market, the Chinese market shares common features with the western markets in basic statistical properties [24,26], while exhibits its own characteristics in the return-volatility correlation and spatial structure [9,10,11].…”

Determinants of immediate price impacts at the trade level in an emerging order-driven market

“…Further research showed that the returns have power-law tails with the exponent close to three, known as the inverse cubic law [12][13][14][15]. A number of empirical investigations have been conducted on financial returns at different time scales in different stock markets over different time periods, and the distributions are found to have power-law tails with different tail exponents at short time intervals [16][17][18][19][20][21][22][23][24][25][26][27][28][29][30][31], which can be explained by the variational theory for turbulent signals [32,33]. In addition, it has been shown that the exponent values are universal for three mature markets that do not display variations with respect to market capitalization or industrial sector [34,35], which is however not the case for emerging markets [36].…”