Fluctuations Of WIG-the index of Warsaw Stock Exchange. Preliminary studies

TL;DR

This paper analyzes five years of daily WIG index data, revealing non-Gaussian fluctuation features, long-range correlations, tail decay properties, and Zipf analysis insights.

Contribution

It provides a comprehensive statistical analysis of WIG index fluctuations, including correlation exponents and tail behavior, which are novel for this index.

Findings

Non-Gaussian distribution features of returns

Presence of long-range correlations in the index

Zipf analysis of the translated time series

Abstract

A time series that represents daily values of the WIG index (the main index of Warsaw Stock Exchange) over last 5 years is examined. Non-Gaussian features of distributions of fluctuations, namely returns, over a time scale are considered. Some general properties like exponents of the long range correlation estimated by averaged volatility and detrended fluctuations analysis (DFA) as well as exponents describing a decay of tails of the cumulative distributions are found. Closing, the Zipf analysis for the WIG index time series translated into three letter text is presented.