سال انتشار: ۱۳۸۵

محل انتشار: اولین همایش آینده پژوهی

تعداد صفحات: ۱۹

نویسنده(ها):

P. Norouzzadeh – Quantitative Analysis Research Group,Farda Development Organization, Tehran, Iran
G.R. Jafari – Department of Physics, Sharif University of Technology,P.O. Box 11365-9161, Tehran, Iran

چکیده:

We report an empirical study of Tehran Price Index (TEPIX). Toanalyze our data we use various methods like as, rescaled range analysis(R/S), modified rescaled range analysis (Lo’s method), DetrendedFluctuation Analysis (DFA) and generalized Hurst exponents analysis.Based on numerical results, the scaling range of TEPIX returnsis specified, long memory effect or long range correlation property inthis market is investigated, characteristic exponent for probability distributionfunction of TEPIX returns is derived and finally the stage ofdevelopment in Tehran Stock Exchange is determined