Economy – Quantitative Finance – Statistical Finance
Scientific paper
2009-05-26
Econophysics & Economics of Games, Social Choices and Quantitative Techniques, pp.110-118, Springer-Verlag, Milan (2009)
Economy
Quantitative Finance
Statistical Finance
9 pages, 6 figures, Econophys-IV, Kolkata, 2009
Scientific paper
10.1007/978-88-470-1501-2_13
We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical and locally structured variations. For that purpose, we make use of Daubechies wavelet and characterize the fractal behavior of the returns using a recently developed wavelet based fluctuation analysis method. the returns show a fat-tail distribution as also weak non-statistical behavior. We have also carried out continuous wavelet as well as Fourier power spectral analysis to characterize the periodic nature and correlation properties of the time series.
Ahalpara Dilip P.
Ghosh Sayantan
Manimaran P.
Panigrahi Prasanta K.
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