Eur. Phys. J. B 20, 573-579
The distribution and scaling of fluctuations for Hang Seng index in Hong Kong stock market
B.H. Wang1, 2 and P.M. Hui31 Department of Modern Physics and Nonlinear Science Center, University of Science and Technology of China, Hefei 230026, PR China
2 CCAST (World Laboratory), PO Box 8730, Beijing 100080, PR China
3 Department of Physics, The Chinese University of Hong Kong, Shatin, New Territories, Hong Kong, PR China
bhwang@ustc.edu.cn
(Received 9 August 2000 and Received in final form 28 August 2000)
Abstract
The statistical properties of the
Hang Seng index in the Hong Kong stock market are analyzed.
The data include minute by minute records
of the Hang Seng index from January 3, 1994
to May 28, 1997. The probability distribution functions of
index returns for the time scales
from 1 minute to 128 minutes are given. The results show that the nature of
the stochastic process underlying the time series of the returns
of Hang Seng index cannot be described by the normal distribution.
It is more reasonable to model it
by a truncated Lévy distribution with an exponential
fall-off in its tails.
The scaling of the maximium value of the probability distribution
is studied.
Results show that the data are consistent with scaling of
a Lévy distribution.
It is observed that in the tail
of the distribution, the fall-off deviates
from that of a Lévy stable process
and is approximately exponential, especially after removing
daily trading pattern from the data. The daily pattern thus affects strongly
the analysis of the asymptotic behavior
and scaling of fluctuation distributions.
89.65.Gh - Economics, business, and financial markets.
05.40.Fb - Random walks and Lévy flights.
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag 2001
