Statistical analysis of 5 s index data of the Budapest Stock Exchange

A statistical analysis of the Budapest Stock Index (BUX) is presented. The high time resolution (5 s sampling) makes it possible to extract information on market functioning which does not emerge from daily data. The main results are as follows: from a statistical point of view the large drop in October 1997 was a “normal” event. Strong autocorrelation has been detected in the volatility and market activity data. Detrended fluctuation analysis reveals “superdiffusive” scaling without persistence. Finally, we report on a simple method for mapping local trends to represent sequences in order to obtain pattern statistics.