Causalities of the Taiwan Stock Market
arXiv:cond-mat/0304132 · doi:10.1016/S0378-4371(02)01842-3
Abstract
Volatility, fitting with first order Landau expansion, stationarity, and causality of the Taiwan stock market (TAIEX) are investigated based on daily records. Instead of consensuses that consider stock market index change as a random time series we propose the market change as a dual time series consists of the index and the corresponding volume. Therefore, causalities between these two time series are investigated.
8 pages, 15 figures
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