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Statistical Properties of Fluctuations: A Method to Check Market Behavior

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Econophysics and Economics of Games, Social Choices and Quantitative Techniques

Part of the book series: New Economic Windows ((NEW))

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Abstract

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.

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Author information

Authors and Affiliations

  1. Indian Institute of Science Education and Research (Kolkata), Salt Lake City, Kolkata, 700 106, India

    Prasanta K. Panigrahi

  2. Physical Research Laboratory, Navrangpura, Ahmedabad, 380 009, India

    Prasanta K. Panigrahi

  3. The Insitute of Mathematical Sciences, C.I.T. Campus, Taramani, Chennai, 600 113, India

    Sayantan Ghosh

  4. Centre for Mathematical Sciences, C. R. Rao Advanced Institute of Mathematics, Statistics and Computer Science, HCU Campus, Hyderabad, 500 046, India

    P. Manimaran

  5. The Institute for Plasma Research, Bhat, Gandhinagar, 382 428, India

    Dilip P. Ahalpara

Authors
  1. Prasanta K. Panigrahi
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  2. Sayantan Ghosh
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  3. P. Manimaran
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  4. Dilip P. Ahalpara
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Editor information

Editors and Affiliations

  1. Physics and Applied Mathematics Unit, Indian Statistical Institute, Kolkata, 700108, India

    Banasri Basu

  2. Economic Research Unit, Indian Statistical Institute, Kolkata, 700108, India

    Satya R. Chakravarty , Bikas K. Chakrabarti  & Kausik Gangopadhyay ,  & 

  3. Centre for Applied Mathematics and Computational Science, Saha Institute of Nuclear Physics, Kolkata, 700064, India

    Bikas K. Chakrabarti

  4. Indian Institute of Management Kozhikode, Kozhikode, 673570, India

    Kausik Gangopadhyay

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Panigrahi, P.K., Ghosh, S., Manimaran, P., Ahalpara, D.P. (2010). Statistical Properties of Fluctuations: A Method to Check Market Behavior. In: Basu, B., Chakravarty, S.R., Chakrabarti, B.K., Gangopadhyay, K. (eds) Econophysics and Economics of Games, Social Choices and Quantitative Techniques. New Economic Windows. Springer, Milano. https://doi.org/10.1007/978-88-470-1501-2_13

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