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Paper   IPM / P / 8077
School of Physics
  Title:   Level Crossing Analysis of the Stock Markets
1.  G. R. Jafari
2.  M. S. Movahed
3.  S. M. Fazeli
4.  M. R. Rahimi Tabar
5.  S.F. Masoudi
  Status:   Published
  Journal: J.Stat. Mech: Theory and Experiments
  Vol.:  2006
  Year:  2006
  Pages:   P06008
  Supported by:  IPM
We investigate the average frequency of positive slope να+, crossing for the returns of market prices. The method is based on stochastic processes which no scaling feature is explicitly required. Using this method we define new quantity to quantify stage of development and activity of stocks exchange. We compare the Tehran and western stock markets and show that some stocks such as Tehran (TEPIX) and New zealand (NZX) stocks exchange are emerge, and also TEPIX is a non-active market and financially motivated to absorb capital.

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