  In this paper the diffusion entropy technique is applied to investigate the
scaling behavior of financial markets. The scaling behaviors of four
representative stock markets, Dow Jones Industrial Average, Standard&Poor 500,
Heng Seng Index, and Shang Hai Stock Synthetic Index, are almost the same; with
the scale-invariance exponents all in the interval $[0.92, 0.95]$. These
results provide a strong evidence of the existence of long-rang correlation in
financial time series, thus several variance-based methods are restricted for
detecting the scale-invariance properties of financial markets. In addition, a
parsimonious percolation model for stock markets is proposed, of which the
scaling behavior agrees with the real-life markets well.
