Physics – Condensed Matter – Other Condensed Matter
Scientific paper
2004-10-12
Physics
Condensed Matter
Other Condensed Matter
Scientific paper
This paper presents a statistical analysis of Tehran Price Index (TePIx) for the period of 1992 to 2004. The results present asymmetric property of the return distribution which tends to the right hand of the mean. Also the return distribution can be fitted by a stable Levy distribution and the tails are very fatter than the gaussian distribution. We estimate the tail index of the TePIx returns with two different methods and the results are consistent with the previous studies on the stock markets. A strong autocorrelation has been detected in the TePIx time series representing a long memory of several trading days. We have also applied a Zipf analysis on the TePIx data presenting strong correlations between the TePIx daily fluctuations. We hope that this paper be able to give a brief description about the statistical behavior of financial data in Iran stock market.
Rasoolizadeh A.
Solgi Reza
No associations
LandOfFree
Statistical analysis of the price index of Tehran Stock Exchange does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Statistical analysis of the price index of Tehran Stock Exchange, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Statistical analysis of the price index of Tehran Stock Exchange will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-718401