Large-volatility dynamics in financial markets
Statistical Finance
2011-03-28 v2 Physics and Society
Abstract
We investigate the large-volatility dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a power law, and the exponents usually vary with the strength of the large volatilities. The large-volatility dynamics is time-reversal symmetric at the time scale in minutes, while asymmetric at the daily time scale. Careful analysis reveals that the time-reversal asymmetry is mainly induced by exogenous events. It is also the exogenous events which drive the financial dynamics to a non-stationary state. Different characteristics of the Chinese and German stock markets are uncovered.
Cite
@article{arxiv.1002.3747,
title = {Large-volatility dynamics in financial markets},
author = {X. F. Jiang and B. Zheng and J. Shen},
journal= {arXiv preprint arXiv:1002.3747},
year = {2011}
}