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Distribution of detrended stock market data

Lan, Boon Leong; Yeoh, Ee Von; Ng, Jin

Description

For stock market data, the empirical distribution of the return for stock price and the empirical distribution of the return for stock market index are well known. However, for the detrended data (defined as data divided by trend), which is a different fluctuating quantity compared to the return, only the distribution of detrended daily stock volume is known so far. In this paper, we show that for both stock price and stock market index, the detrended daily data is well fitted by a stable...[Show more]

dc.contributor.authorLan, Boon Leong
dc.contributor.authorYeoh, Ee Von
dc.contributor.authorNg, Jin
dc.date.accessioned2015-12-08T22:42:08Z
dc.identifier.issn0219-4775
dc.identifier.urihttp://hdl.handle.net/1885/36960
dc.description.abstractFor stock market data, the empirical distribution of the return for stock price and the empirical distribution of the return for stock market index are well known. However, for the detrended data (defined as data divided by trend), which is a different fluctuating quantity compared to the return, only the distribution of detrended daily stock volume is known so far. In this paper, we show that for both stock price and stock market index, the detrended daily data is well fitted by a stable probability density with characteristic exponent parameter less than 2. The trend was modeled using either cubic smoothing spline or principal component analysis. The significance of our results for stock market modeling is discussed.
dc.publisherWorld Scientific Publishing Company
dc.sourceFluctuation and Noise Letters
dc.subjectKeywords: cubic smoothing spline; detrend; Econophysics; principal component analysis; stable density; trend modeling
dc.titleDistribution of detrended stock market data
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume9
dc.date.issued2010
local.identifier.absfor091301 - Acoustics and Noise Control (excl. Architectural Acoustics)
local.identifier.ariespublicationf2965xPUB143
local.type.statusPublished Version
local.contributor.affiliationLan, Boon Leong, Monash University Malaysia
local.contributor.affiliationYeoh, Ee Von, Monash University Malaysia
local.contributor.affiliationNg, Jin, College of Physical and Mathematical Sciences, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.issue3
local.bibliographicCitation.startpage245
local.bibliographicCitation.lastpage257
local.identifier.doi10.1142/S0219477510000186
dc.date.updated2016-02-24T08:13:49Z
local.identifier.scopusID2-s2.0-77955188789
CollectionsANU Research Publications

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