相关论文: Volatility return intervals analysis of the Japane…
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…
We study the return interval $\tau$ between price volatilities that are above a certain threshold $q$ for 31 intraday datasets, including the Standard & Poor's 500 index and the 30 stocks that form the Dow Jones Industrial index. For…
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 study the daily trading volume volatility of 17,197 stocks in the U.S. stock markets during the period 1989--2008 and analyze the time return intervals $\tau$ between volume volatilities above a given threshold q. For different…
By studying the statistics of recurrence intervals, $\tau$, between volatilities of Internet traffic rate changes exceeding a certain threshold $q$, we find that the probability distribution functions, $P_{q}(\tau)$, for both byte and…
The statistical properties of the return intervals $\tau_q$ between successive 1-min volatilities of 30 liquid Chinese stocks exceeding a certain threshold $q$ are carefully studied. The Kolmogorov-Smirnov (KS) test shows that 12 stocks…
We analyze the memory in volatility by studying volatility return intervals, defined as the time between two consecutive fluctuations larger than a given threshold, in time periods following stock market crashes. Such an aftercrash period…
The distribution of the return intervals $\tau$ between volatilities above a threshold $q$ for financial records has been approximated by a scaling behavior. To explore how accurate is the scaling and therefore understand the underlined…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…
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…
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…
We study the statistical properties of the recurrence intervals $\tau$ between successive trading volumes exceeding a certain threshold $q$. The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period…
Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered…
Understanding the statistical properties of recurrence intervals of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have…
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times…
We study the statistical properties of return intervals $r$ between successive energy dissipation rates above a certain threshold $Q$ in three-dimensional fully developed turbulence. We find that the distribution function $P_Q(r)$ scales…
This paper examines quantile dependence between international stock markets and evaluates its use for improving volatility forecasting. First, we analyze quantile dependence and directional predictability between the US stock market and…
We study the volatility time series of 1137 most traded stocks in the US stock markets for the two-year period 2001-02 and analyze their return intervals $\tau$, which are time intervals between volatilities above a given threshold $q$. We…
Being able to forcast extreme volatility is a central issue in financial risk management. We present a large volatility predicting method based on the distribution of recurrence intervals between volatilities exceeding a certain threshold…
One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a…