The following information was submitted:
Transactions: WSEAS TRANSACTIONS ON INFORMATION SCIENCE AND APPLICATIONS
Transactions ID Number: 53-561
Full Name: Mario Zgela
Position: Doctor (Researcher)
Age: ON
Sex: Male
Address: Trg hrvatskih velikana 3
Country: CROATIA (HRVATSKA)
Tel: (0)98 496 713
Tel prefix: +385
Fax:
E-mail address: Mario.Zgela@hnb.hr
Other E-mails:
Title of the Paper: Application of Benford's Law in Analysis of Daily DAX Percentage Changes
Authors as they appear in the Paper: Mario Zgela
Email addresses of all the authors: Mario.Zgela@hnb.hr
Number of paper pages: 11
Abstract: Application of Benford's Law is very rarely covered in the field of stock market analysis, especially in percentage change of stock market indices. Deutscher Aktien IndeX (DAX) is very important stock market index of Frankfurt Deutsche u Börse which serves us underlying basis for large number of financial instruments. It is calculated for selected 30 German blue chips stocks. In this paper, Benford's Law first digit test is applied on 10 year DAX daily percentage changes in order to check compliance. Deviations of complete 10 year DAX percentage changes set as well as distortions of certain subsets from Benford's Law distribution are detected. Possibility that deviations are outcome of speculations and psychological influence should not be eliminated.
Keywords: Benford's Law, DAX, index percentage changes, stock market, set deviation
EXTENSION of the file: .doc
Special (Invited) Session:
Organizer of the Session:
How Did you learn about congress: Data analysis, Benford's Law, computer assisted auditing
IP ADDRESS: 93.139.17.248
