All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Ranasinghe Malmini
 
''Scale invariance in financial time series''
( 2007, Vol. 3 No.24 )
 
 
We focus on new insights of scale invariance and scaling properties usefully applied in the framework of a statistical approach to study the empirical finance. Two stock returns of Sri Lankan stock market indices All Share Price Index and Milanka Price Index index were considered. Central parts of the probability distribution function of returns are well fitted by the Lorentzian distribution function. However, tail parts of the probability distribution function follow a power law asymptotic behavior. We found that the probability distribution function of returns for both All Share Price Index and Milanka Price Index , is outside the L´evy stable distribution. Sri Lankan stock market is not described by the random Gaussian stochastic processes.
 
 
Keywords:
JEL: C5 - Econometric Modeling: General
P0 - Economic Systems: General
 
Manuscript Received : Jun 18 2007 Manuscript Accepted : Jun 20 2007

  This abstract has been downloaded 410 times                The Full PDF of this paper has been downloaded 87700 times