Economy – Quantitative Finance – Statistical Finance
Scientific paper
2007-06-11
Economy
Quantitative Finance
Statistical Finance
5 pages, 5 figures. Accepted to appear in IJMPC
Scientific paper
10.1142/S0129183107011662
We report on a study of the Tehran Price Index (TEPIX) from 2001 to 2006 as an emerging market that has been affected by several political crises during the recent years, and analyze the non-Gaussian probability density function (PDF) of the log returns of the stocks' prices. We show that while the average of the index did not fall very much over the time period of the study, its day-to-day fluctuations strongly increased due to the crises. Using an approach based on multiplicative processes with a detrending procedure, we study the scale-dependence of the non-Gaussian PDFs, and show that the temporal dependence of their tails indicates a gradual and systematic increase in the probability of the appearance of large increments in the returns on approaching distinct critical time scales over which the TEPIX has exhibited maximum uncertainty.
Bahraminasab Alireza
Ghasemi Fatemeh
Jafari G. R.
Movahed Sadegh M.
Noroozzadeh P.
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