Double Power Law Decay of the Persistence in Financial Markets

TL;DR

This paper investigates the persistence phenomenon in the Japanese stock market by mapping share values onto Ising spins, revealing a double-power law decay in persistence with a long-term exponent of 0.5, consistent with other markets.

Contribution

It introduces a novel spin-mapping method to analyze persistence in financial markets and demonstrates a double-power law decay pattern in the Japanese market data.

Findings

Evidence of double-power law decay in share persistence

Estimated long-term persistence exponent of 0.5

Results align with previous London market analysis

Abstract

The persistence phenomenon is studied in the Japanese financial 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 stock market during 2002. By studying the time dependence of the spins, we find clear evidence for a double-power law decay of the proportion of shares that remain either above or below ` starting\rq\ 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. We estimate a long time persistence exponent for the underlying Japanese financial market to be 0.5.