Level Crossing Analysis of the Stock Markets

Abstract

We investigate the average frequency of positive slope ${\nu }_{\alpha }^{+}$, crossing for the returns of market prices. The method is based on stochastic processes which no scaling feature is explicitly required. Using this method we define new quantity to quantify stage of development and activity of stocks exchange. We compare the Tehran and western stock markets and show that some stocks such as Tehran (TEPIX) and New Zealand (NZX) stocks exchange are emerge, and also TEPIX is a non-active market and financially motivated to absorb capital.

6 pages and 4 figures

References in corpus (2)

• Controlling surface statistical properties using bias voltage: Atomic force microscopy and stochastic analysis
• Optimal Investment Horizons for Stocks and Markets

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