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Generalized persistence probability in a dynamic economic index. (English) Zbl 1049.91117
Summary: A generalized persistence probability distribution is introduced in an economic index, describing dynamic behavior nonlocal in time. It concerns the time series of the magnitude of the variation of the index. Universal scaling behavior is revealed by analyzing the ‘experimental’ data of the German DAX. Results are compared with those of a random walk and a dynamic herding model.

MSC:
91B82 Statistical methods; economic indices and measures
91B84 Economic time series analysis
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