Related papers: Waiting-time distribution for a stock-market index
We investigate the probability distributions of the recurrence intervals $\tau$ between consecutive 1-min returns above a positive threshold $q>0$ or below a negative threshold $q<0$ of two indices and 20 individual stocks in China's stock…
Many human-related activities show power-law decaying interevent time distribution with exponents usually varying between 1 and 2. We study a simple task-queuing model, which produces bursty time series due to the nontrivial dynamics of the…
We show that assuming that the returns are independent when conditioned on the value of their variance (volatility), which itself varies in time randomly, then the distribution of returns is well described by the statistics of the sum of…
It has been noticed that when the waiting time distribution exhibits a transition from an intermediate time power law decay to a long-time exponential decay in the continuous time random walk model, a transition from anomalous diffusion to…
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole…
We investigate statistical properties of daily international market indices of seven countries, and high-frequency $S&P500$ and KOSDAQ data, by using the detrended fluctuation method and the surrogate test. We have found that the returns of…
We investigate the probability distribution of the volatility return intervals $\tau$ for the Chinese stock market. We rescale both the probability distribution $P_{q}(\tau)$ and the volatility return intervals $\tau$ as…
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that…
We study the phase transition of dynamical herd behaviors for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior with three different…
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…
We perform return interval analysis of 1-min {\em{realized volatility}} defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling…
We investigate the statistical properties of the correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the portfolio weights in the Markowitz…
The behavior of stock market returns over a period of 1-60 days has been investigated for S&P 500 and Nasdaq within the framework of nonextensive Tsallis statistics. Even for such long terms, the distributions of the returns are…
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting…
In this study we aim for a deeper understanding of the power law slope, $\alpha$, of waiting time distributions. Statistically independent events with linear behavior can be characterized by binomial, Gaussian, exponential, or Poissonian…
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…
The distribution of recurrence times or return intervals between extreme events is important to characterize and understand the behavior of physical systems and phenomena in many disciplines. It is well known that many physical processes in…
The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We…
We evaluate the average waiting time between observing the price of financial markets and the next price change, especially in an on-line foreign exchange trading service for individual customers via the internet. Basic technical idea of…
This paper is intended as an investigation of the statistical properties of {\it absolute log-returns}, defined as the absolute value of the logarithmic price change, for the Nikkei 225 index in the 28-year period from January 4, 1975 to…