Persistence probabilities of the German DAX and Shanghai Index

Persistence (discontinuity)
DOI: 10.1016/j.physa.2004.11.054 Publication Date: 2004-12-29T05:14:09Z
ABSTRACT
We present a relatively detailed analysis of the persistence probability distributions in financial dynamics. Compared with the auto-correlation function, the persistence probability distributions describe dynamic correlations non-local in time. Universal and non-universal behaviors of the German DAX and Shanghai Index are analyzed, and numerical simulations of some microscopic models are also performed. Around the fixed point $z_0=0$, the interacting herding model produces the scaling behavior of the real markets.
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