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Econophysics and Sociophysics: Recent Progress and Future Directions pp 103–112Cite as

Record Statistics of Equities and Market Indices

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Abstract

Record events in a time series denotes those events whose magnitude is the largest or smallest amongst all the events until any time N. Record statistics is emerging as another statistical tool to understand and characterise properties of time series. The study of records in uncorrelated time series dates back to 60 years while that for correlated time series is beginning to receive research attention now. Most of these investigations are aided by the applications in finance and climate related studies, primarily due to relatively easy availability of long measured time series data. Record statistics in respect of empirical financial time series data has begun to attract attention recently. In this work, we first review some of the results related to record statistics of random walks and its application to stock market data. Finally, we also show through the analysis of empirical data that for the market indices too the distribution of intervals between record events follow a power law with exponent lying the range 1.5–2.0.

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Acknowledgements

AK would like to thank DST-INSPIRE for the fellowship. We acknowledge the useful data provided from http://finance.yahoo.com without which this work would not have been possible.

Author information

Authors and Affiliations

  1. Indian Institute of Science Education and Research, Dr. Homi Bhabha Road, Pune, 411008, India

    M. S. Santhanam & Aanjaneya Kumar

Authors
  1. M. S. Santhanam
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  2. Aanjaneya Kumar
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Corresponding author

Correspondence to M. S. Santhanam .

Editor information

Editors and Affiliations

  1. CentraleSupélec , Châtenay Malabry, France

    Frédéric Abergel

  2. Dept of Physics, Graduate School of Science, Kyoto University , Kyoto, Kyoto, Japan

    Hideaki Aoyama

  3. Saha Institute of Nuclear Physics , Kolkata, India

    Bikas K. Chakrabarti

  4. Jawaharlal Nehru University , New Delhi, India

    Anirban Chakraborti

  5. Department of Physics and Astrophysics, University of Delhi, New Delhi, India

    Nivedita Deo

  6. Zakir Husain Centre for Educational Studiess, Jawaharlal Nehru University, New Delhi, India

    Dhruv Raina

  7. Administrative Sciences, Metropolitan College, Boston University, Boston, USA

    Irena Vodenska

Appendix

Appendix

The details of the indices data used are given here. The data is available in the public domain and can be accessed from http://finance.yahoo.com.

Index

Length of data

Years covered

AMEX Composite

5117

1996–2016

BSE

4650

1997–2016

CAC40

6628

1990–2016

DAX

6434

1990–2016

FTSE100

8412

1984–2016

HANGSENG

7291

1987–2016

NASDAQ 100

7706

1985–2016

NASDAQ composite

11404

1971–2016

NIKKEI

7958

1984–2016

SHANGHAI

6465

1990–2016

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Santhanam, M.S., Kumar, A. (2017). Record Statistics of Equities and Market Indices. In: , et al. Econophysics and Sociophysics: Recent Progress and Future Directions. New Economic Windows. Springer, Cham. https://doi.org/10.1007/978-3-319-47705-3_7

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