“School of Nano-Sciences”

Back to Papers Home
Back to Papers of School of Nano-Sciences

Paper   IPM / Nano-Sciences / 8243
School of Nano Science
  Title:   Level Crossing analysis of Stock Markets
  Author(s): 
1.  Gholam Reza Jafari
2.  M. S. Movahed
3.  S. M. Fazeli
4.  Mohammad Reza Rahimi Tabar
5.  S. M. Masoudi
  Status:   Published
  Journal: J.Stat. Mech: Theory and Experiments
  No.:  June
  Vol.:  2006
  Year:  2006
  Pages:   1-10
  Publisher(s):   IOP Publishing Ltd and SISSA
  Supported by:  IPM
  Abstract:
We investigate the average frequency of positive slope ν+ α , crossing for the returns of market prices. The method is based on stochastic processes which no scaling feature is explicitly required. Using this method we define new quantity to quantify stage of development and activity of stocks exchange. We compare the Tehran and western stock markets and show that some stocks such as Tehran (TEPIX) and New Zealand (NZX) stocks exchange are emerge, and also TEPIX is a non-active market and financially motivated to absorb capital.

Download TeX format
back to top
scroll left or right