| By: |
Ming-Chya Wu (Academic Sinica, Taiwan);
Ming-Chang Huang (Chung Yuan University, Taiwan);
Hai-Chin Yu (Chung Yuan University, Taiwan);
Thomas Chiang (Drexel University, USA) |
| Abstract: |
Scaling, phase distribution and phase correlation of financial time series are
investigated based on the Dow Jones Industry Average (DJIA) and NASDAQ
10-minute intraday data for a period from Aug. 1 1997 to Dec. 31 2003. The
returns of the two indices are shown to have nice scaling behaviors and belong
to stable distributions according to the criterion of Levy's alpha stable
distribution condition. A novel approach catching characteristic features of
financial time series based on the concept of instantaneous phase is further
proposed to study phase distribution and correlation. The analysis of phase
distribution concludes return time series fall into a class which is different
from other non-stationary time series. The correlation between returns of the
two indices probed by the distribution of phase difference indicates there was
a remarkable change of trading activities after the event of 911 attack, and
this change persisted in later trading activities. |
| Keywords: |
Phase Distribution, High Frequency Data, Scaling Analysis, Levy Distribution, Stock Market, Frequency Variant |
| JEL: |
G |
| Date: |
2005–12–10 |
| URL: |
http://d.repec.org/n?u=RePEc:wpa:wuwpfi:0512013&r=rmg |