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

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  • Danuta Makowiec
  • Piotr Gnacinski

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.

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  • Danuta Makowiec & Piotr Gnacinski, 2000. "Fluctuations Of WIG-the index of Warsaw Stock Exchange. Preliminary studies," Papers cond-mat/0010190, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0010190
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