Double Power Law in the Japanese Financial Market

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Author(s): Sudhir Jain (School of Engineering and Applied Science, Aston University, Birmingham, UK)and Takuya Yamano (Kanagawa University, Hiratsuka, Japan)
Copyright: 2019
Volume: 7
Issue: 1
Pages: 8
Source title: International Journal of Productivity Management and Assessment Technologies (IJPMAT)
Editor(s)-in-Chief: Oxana Karnaukhova (Southern Federal University, Russia)and Brian J. Galli (Assistant Professor and Graduate Program Director, Master of Science in Engineering Management Industrial Engineering, Hofstra University, USA)
DOI: 10.4018/IJPMAT.2019010102

Keywords: Business & Management / Business and Organizational Research / Business Process Management / Business Science Reference

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Abstract

The authors study the persistence phenomenon in the Japanese stock market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is applied to historical end of day data from the Japanese financial market. By studying the time dependence of the spins, they find clear evidence for a double-power law decay of the proportion of shares that remain either above or below ‘starting' values chosen at random. The results are consistent with a recent analysis of the data from the London FTSE100 market. The slopes of the power-laws are also in agreement. The authors estimate a long time persistence exponent for the underlying Japanese financial market to be 0.5. Furthermore, they argue that the presence of a double power law in the decay of the persistence probability could be the signature of the presence of both speculative (short-term) and long-term traders in the market.

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Double Power Law in the Japanese Financial Market

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