Fluctuations Of WIG-the index of Warsaw Stock Exchange. Preliminary studies

Details Fluctuations Of WIG-the index of Warsaw Stock Exchange. Preliminary studies Fluctuations Of WIG-the index of Warsaw Stock Exchange. Preliminary studies

2000-10-13

arxiv.org/abs/cond-mat/0010190v1

Physics

Condensed Matter

Statistical Mechanics

10 pages and 15 files with figures

Scientific paper

A time series that represents daily values of the WIG index (the main index of Warsaw Stock Exchange) over last 5 years is examined. Non-Gaussian features of distributions of fluctuations, namely returns, over a time scale are considered. Some general properties like exponents of the long range correlation estimated by averaged volatility and detrended fluctuations analysis (DFA) as well as exponents describing a decay of tails of the cumulative distributions are found. Closing, the Zipf analysis for the WIG index time series translated into three letter text is presented.

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