The distribution and scaling of fluctuations for Hang Seng index in Hong Kong stock market

The statistical properties of the Hang Seng index in the Hong Kong stock ma rket are analyzed. The data include minute by minute records of the Hang Se ng index from January 3, 1994 to May 28, 1997. The probability distribution functions of index returns for the time scales from 1 minute to 128 minute s are given. The results show that the nature of the stochastic process und erlying the time series of the returns of Hang Seng index cannot be describ ed by the normal distribution. It is more reasonable to model it by a trunc ated Levy distribution with an exponential fall-off in its tails. The scali ng of the maximium value of tile probability distribution is studied. Resul ts show that the data are consistent with scaling: of a Levy distribution. It is observed that in the tail of the distribution, the fall-off deviates from that of a Levy stable process and is: approximately exponential, espec ially after removing daily trading pattern from the data. The daily pattern thus affects: strongly the analysis of tile asymptotic behavior and scalin g of fluctuation distributions.