PMID- 35797336
OWN - NLM
STAT- MEDLINE
DCOM- 20220711
LR  - 20220725
IS  - 1932-6203 (Electronic)
IS  - 1932-6203 (Linking)
VI  - 17
IP  - 7
DP  - 2022
TI  - An empirical data analysis of "price runs" in daily financial indices: 
      Dynamically assessing market geometric distributional behavior.
PG  - e0270492
LID - 10.1371/journal.pone.0270492 [doi]
LID - e0270492
AB  - In financial time series there are time periods in which market indices values or 
      assets prices increase or decrease monotonically. We call those events "price 
      runs", "elementary uninterrupted trends" or just "uninterrupted trends". In this 
      paper we study the distribution of the duration of uninterrupted trends for the 
      daily indices DJIA, NASDAQ, IPC and Nikkei 225 during the period of time from 
      10/30/1978 to 08/07/2020 and we compare the simple geometric statistical model 
      with [Formula: see text] consistent with the EMH to the empirical data. By a 
      fitting procedure, it is found that the geometric distribution with parameter 
      [Formula: see text] provides a good model for uninterrupted trends of short and 
      medium duration for the more mature markets; however, longest duration events 
      still need to be statistically characterized. Estimated values of the parameter p 
      were also obtained and confirmed by calculating the mean value of p fluctuations 
      from empirical data. Additionally, the observed trend duration distributions for 
      the different studied markets are compared over time by means of the 
      Anderson-Darling (AD) test, to the expected geometric distribution with parameter 
      [Formula: see text] and to a geometric distribution with a free parameter p, 
      making possible to assess and compare different market geometric behavior for 
      different dates as well as to measure the fraction of time runs duration from 
      studied markets are consistent with the geometric distribution with [Formula: see 
      text] and in parametric free way.
FAU - Olivares-Sanchez, Hector Raul
AU  - Olivares-Sanchez HR
AD  - Department of Astrophysics, Radboud University, Nijmegen, The Netherlands.
FAU - Rodriguez-Martinez, Carlos Manuel
AU  - Rodriguez-Martinez CM
AUID- ORCID: 0000-0002-4378-2220
AD  - Instituto de Investigaciones en Inteligencia Artificial, Universidad Veracruzana, 
      Xalapa Veracruz, Mexico.
FAU - Coronel-Brizio, Hector Francisco
AU  - Coronel-Brizio HF
AD  - Instituto de Investigaciones en Inteligencia Artificial, Universidad Veracruzana, 
      Xalapa Veracruz, Mexico.
FAU - Scalas, Enrico
AU  - Scalas E
AD  - Department of Mathematics, School of Mathematical and Physical Sciences, 
      University of Sussex, Brighton, United Kingdom.
FAU - Seligman, Thomas Henry
AU  - Seligman TH
AD  - Centro Internacional de Ciencias AC, Campus UAEM-UNAM, Cuernavaca Morelos, 
      Mexico.
AD  - Instituto de Ciencias Fisicas, Universidad Nacional Autonoma de Mexico, 
      Cuernavaca Morelos, Mexico.
FAU - Hernandez-Montoya, Alejandro Raul
AU  - Hernandez-Montoya AR
AUID- ORCID: 0000-0002-7244-8790
AD  - Instituto de Investigaciones en Inteligencia Artificial, Universidad Veracruzana, 
      Xalapa Veracruz, Mexico.
AD  - Facultad de Fisica, Universidad Veracruzana, Xalapa Veracruz, Mexico.
LA  - eng
PT  - Journal Article
PT  - Research Support, Non-U.S. Gov't
DEP - 20220707
PL  - United States
TA  - PLoS One
JT  - PloS one
JID - 101285081
SB  - IM
MH  - *Data Analysis
MH  - Statistical Distributions
MH  - Time Factors
PMC - PMC9262240
COIS- The authors have declared that no competing interests exist.
EDAT- 2022/07/08 06:00
MHDA- 2022/07/12 06:00
PMCR- 2022/07/07
CRDT- 2022/07/07 13:34
PHST- 2021/08/26 00:00 [received]
PHST- 2022/06/10 00:00 [accepted]
PHST- 2022/07/07 13:34 [entrez]
PHST- 2022/07/08 06:00 [pubmed]
PHST- 2022/07/12 06:00 [medline]
PHST- 2022/07/07 00:00 [pmc-release]
AID - PONE-D-21-27632 [pii]
AID - 10.1371/journal.pone.0270492 [doi]
PST - epublish
SO  - PLoS One. 2022 Jul 7;17(7):e0270492. doi: 10.1371/journal.pone.0270492. 
      eCollection 2022.