The two-phase behaviour in financial markets actually means the bifurcation phenomenon, which represents the change of the conditional probability from an unimodal to a bimodal distribution. We investigate the bifurca...The two-phase behaviour in financial markets actually means the bifurcation phenomenon, which represents the change of the conditional probability from an unimodal to a bimodal distribution. We investigate the bifurcation phenomenon in Hang-Sang index. It is observed that the bifurcation phenomenon in financial index is not universal, but specific under certain conditions. For Hang-Sang index and randomly generated time series, the phenomenon just emerges when the power-law exponent of absolute increment distribution is between 1 and 2 with appropriate period. Simulations on a randomly generated time series suggest the bifurcation phenomenon itself is subject to the statistics of absolute increment, thus it may not be able to reflect essential financial behaviours. However, even under the same distribution of absolute increment, the range where bifurcation phenomenon occurs is fax different from real market to artificial data, which may reflect certain market information.展开更多
基金Supported by the National Natural Science Foundation of China under Grant Nos 70571075 and 10635040, and the National Basic Research Programme of China under Grant No 2006CB705500.
文摘The two-phase behaviour in financial markets actually means the bifurcation phenomenon, which represents the change of the conditional probability from an unimodal to a bimodal distribution. We investigate the bifurcation phenomenon in Hang-Sang index. It is observed that the bifurcation phenomenon in financial index is not universal, but specific under certain conditions. For Hang-Sang index and randomly generated time series, the phenomenon just emerges when the power-law exponent of absolute increment distribution is between 1 and 2 with appropriate period. Simulations on a randomly generated time series suggest the bifurcation phenomenon itself is subject to the statistics of absolute increment, thus it may not be able to reflect essential financial behaviours. However, even under the same distribution of absolute increment, the range where bifurcation phenomenon occurs is fax different from real market to artificial data, which may reflect certain market information.
