An econophysics approach to the Portuguese Stock Index—PSI-20

摘要: Abstract We analyse the PSI-20 (Portuguese Stock Index) data series from 1993 to 2001, with a view examining structure of series, appropriateness standard model forms for these and evidence market maturation. The demonstrate several distinct behavioural periods, characteristic dependence on different time-scales, increased volatility during 1998–2000. distribution daily logarithmic variation reveals an exponential decay in central region, typically fatter tails than expected Normal distribution. In particular, characterisation time profile respect index value shows power-law exponent 1.58 those predicted by additive multiplicative models. addition, we using fractional Brownian motion formulation obtain Hurst exponents evaluating through detrended fluctuation analysis, window sizes. It seems clear that persistence is feature initial period, but not evident (as might be expected) periods high volatility. However, some indication recent improvements stability observed even coarse-graining. This transition persistent anti-persistent behaviour clearly reflected values supports extent notion clustering. Furthermore, grouping similar as evolve suggests short-term memory exhibited original when relatively high. These findings are broadly supported further analysis trends returns autocorrelation function returns, η t = δX / X , indicative stronger effects, although modulus return autocorrelated.