英文标题：
《Analyses of Statistical Structures in Economic Indices》
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作者：
Frank W. K. Firk
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最新提交年份：
2014
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英文摘要：
The complex, time-dependent statistical structures observed in the Dow Jones Industrial Average on a typical trading day are modeled with Lorentzian functions. The resonant-like structures are characterized by the values of the basic ratio: the average lifetime of the individual states associated with a given structural form divided by the average interval between adjacent states. Values of the ratio are determined for three structural forms characterized by the average intervals: 50 to 100 seconds (the fine structure), approximately10 minutes, and approximately1 hour (the intermediate structures I and II). During the trading day the values of the basic ratio associated with the fine structure of the index are found to lie in the narrow range from 0.49 to 0.52. This finding is characteristic of the highly statistical nature of many-body systems typified by daily trading. It is therefore proposed that the value of this ratio, determined in the first hour-or-so on a given day, be used to provide information concerning the likely performance of the fine, statistical component of the index for the remainder of the trading day. For the intermediate structures the basic ratios are approximately 0.6 and therefore they too can be analyzed as individual states. Keywords: Analytical economics; Lorentzian analyses of statistical structures in the Dow Jones Industrial Average; basic parameters of economic indices.
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中文摘要：
道琼斯工业平均指数（Dow Jones Industrial Average）在典型交易日观察到的复杂、时间相关的统计结构是用洛伦兹函数建模的。类共振结构的特征是基本比值：与给定结构形式相关的单个状态的平均寿命除以相邻状态之间的平均间隔。该比率的值是针对三种结构形式确定的，其特征是平均间隔：50到100秒（精细结构）、大约10分钟和大约1小时（中间结构I和II）。在交易日，发现与指数精细结构相关的基本比率值在0.49至0.52的窄范围内。这一发现是以日常交易为代表的许多身体系统的高度统计性质的特征。因此，建议使用在给定日期的第一个小时左右确定的该比率的值，提供关于该指数的罚款统计部分在剩余交易日可能表现的信息。对于中间结构，基本比率约为0.6，因此它们也可以作为单个状态进行分析。关键词：分析经济学；道琼斯工业平均指数统计结构的洛伦兹分析；经济指标的基本参数。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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