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摘要翻译：
我们分析了孟买证券交易所(BSE)过去12年的价格指数。考虑到过去几年的大幅波动，我们仔细找出短暂的、非统计的和局部结构的变化。为此，我们利用Daubechies小波，并利用最近发展起来的基于小波的波动分析方法来刻画收益率的分形行为。收益表现为一个肥尾分布，也是弱的非统计行为。我们还进行了连续小波分析和傅立叶功率谱分析来表征时间序列的周期性和相关性。
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英文标题：
《Statistical Properties of Fluctuations: A Method to Check Market
Behavior》
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作者：
Prasanta K. Panigrahi, Sayantan Ghosh, P. Manimaran, Dilip P. Ahalpara
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最新提交年份：
2009
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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：Computer Science 计算机科学
二级分类：Data Structures and Algorithms 数据结构与算法
分类描述：Covers data structures and analysis of algorithms. Roughly includes material in ACM Subject Classes E.1, E.2, F.2.1, and F.2.2.
涵盖数据结构和算法分析。大致包括ACM学科类E.1、E.2、F.2.1和F.2.2中的材料。
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一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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英文摘要：
We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical and locally structured variations. For that purpose, we make use of Daubechies wavelet and characterize the fractal behavior of the returns using a recently developed wavelet based fluctuation analysis method. the returns show a fat-tail distribution as also weak non-statistical behavior. We have also carried out continuous wavelet as well as Fourier power spectral analysis to characterize the periodic nature and correlation properties of the time series.
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PDF链接：
https://arxiv.org/pdf/0905.4237
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