Double power law decay in the Japanese financial market

Sudhir Jain, T Yamano

    Research output: Contribution to journalArticlepeer-review


    The authors study the persistence phenomenon in the Japanese stock market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is applied to historical end of day data from the Japanese financial market. By studying the time dependence of the spins, they find clear evidence for a double-power law decay of the proportion of shares that remain either above or below ‘starting' values chosen at random. The results are consistent with a recent analysis of the data from the London FTSE100 market. The slopes of the power-laws are also in agreement. The authors estimate a long time persistence exponent for the underlying Japanese financial market to be 0.5. Furthermore, they argue that the presence of a double power law in the decay of the persistence probability could be the signature of the presence of both speculative (short-term) and long-term traders in the market.
    Original languageEnglish
    Article number2
    Number of pages8
    JournalInternational Journal of Productivity Management and Assessment Technologies
    Issue number1
    Publication statusPublished - 1 Jan 2019

    Bibliographical note

    Copyright © 2017, IGI Global.


    • Econophysics, Nikkei Index, Non-Equilibrium Dynamics, Ising Model, Persistence


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