Inflation and deflation in financial markets
Abstract
The aim of this paper is to show new empirical results on the statistical properties of absolute log returns, defined as the absolute value of the log return, in a stock market. We used the daily data of the Nikkei 225 index of the 28year period from January of 1975 to December of 2002, and compared the statistical properties of the return and absolute log returns in the inflationary (bubble) period with those in the deflationary (antibubble) period. Our results show that the distribution of absolute log returns is approximated by the qexponential distribution where q=1.14, that is, a powerlaw distribution, in the inflationary period from January of 1975 to December of 1989, and it is accurately described by the qexponential distribution where q=1, that is, an exponential distribution, in the deflationary period from January of 1990 to December of 2002.
 Publication:

Physica A Statistical Mechanics and its Applications
 Pub Date:
 November 2004
 DOI:
 10.1016/j.physa.2004.06.137
 arXiv:
 arXiv:condmat/0401140
 Bibcode:
 2004PhyA..343..662K
 Keywords:

 Condensed Matter  Statistical Mechanics;
 Physics  Physics and Society;
 Quantitative Finance  Statistical Finance
 EPrint:
 8 pages, 3 igures