Eur. Phys. J. B 74, 279-289 (2010)
https://doi.org/10.1140/epjb/e2010-00101-y

Persistent scale free fluctuation in market recovery and recession

Department of Mechanical and Industrial Eng., Ryerson University, ON M5B 2K3 Toronto, Canada

Corresponding author: derlin@ryerson.ca

Received: 16 July 2009
Revised: 3 February 2010
Published online: 24 March 2010

Abstract

A counting procedure is introduced to track the persistent trending feature in the market fluctuation based on the second order statistics of the fluctuation. The method is applied to the daily number of the market index in different economic times of the recession and recovery. Similar characteristics with the discrete lattice cascade were found. It suggests the market index fluctuation over a wide range of scales can be modeled as a state of persistent “coordination”. Specific time scales of the persistent trending feature are extracted and differences in the recovery and recession are compared.