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گواهی نمایه سازی مقاله Statistical analysis of the price index ofTehran Stock Exchange

عنوان مقاله: Statistical analysis of the price index ofTehran Stock Exchange
شناسه (COI) مقاله: FUTURING01_067
منتشر شده در اولین همایش آینده پژوهی در سال ۱۳۸۵
مشخصات نویسندگان مقاله:

A. Rasoolizadeh - Quantitative Analysis Group, Tose-e-Farda Institute,Tehran, Iran.Department of Economics, Allameh Tabatabaie University,Tehran, Iran.
R. Solgi - Quantitative Analysis Group, Tose-e-Farda Institute,Tehran, Iran.

خلاصه مقاله:
This paper presents a statistical analysis of Tehran Price Index (TePIx) for theperiod of 1992 to 2004. The results present asymmetric property of the returndistribution which tends to the right hand of the mean. Also the return distributioncan be fitted by a stable L´evy distribution and the tails are very fatter than thegaussian distribution. We estimate the tail index of the TePIx returns with twodifferent methods and the results are consistent with the previous studies on thestock markets. A strong autocorrelation has been detected in the TePIx time seriesrepresenting a long memory of several trading days. We have also applied a Zipfanalysis on the TePIx data presenting strong correlations between the TePIx dailyfluctuations. We hope that this paper be able to give a brief description about thestatistical behavior of financial data in Iran stock market.

کلمات کلیدی:
Econophysics, Stock index, Statistical finance, Financial markets, Zipfanalysis, TePIx

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