Scaling and memory effect in volatility return interval of the Chinese stock market

T. Qiu, L. Guo and G. Chen

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 27, 6812-6818

Abstract: We investigate the probability distribution of the volatility return intervals τ for the Chinese stock market. We rescale both the probability distribution Pq(τ) and the volatility return intervals τ as Pq(τ)=1/τ¯f(τ/τ¯) to obtain a uniform scaling curve for different threshold value q. The scaling curve can be well fitted by the stretched exponential function f(x)∼e−αxγ, which suggests memory exists in τ. To demonstrate the memory effect, we investigate the conditional probability distribution Pq(τ|τ0), the mean conditional interval 〈τ|τ0〉 and the cumulative probability distribution of the cluster size of τ. The results show clear clustering effect. We further investigate the persistence probability distribution P±(t) and find that P−(t) decays by a power law with the exponent far different from the value 0.5 for the random walk, which further confirms long memory exists in τ. The scaling and long memory effect of τ for the Chinese stock market are similar to those obtained from the United States and the Japanese financial markets.

Keywords: Econophysics; Stock markets; Volatility return intervals (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437108007747
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:27:p:6812-6818

DOI: 10.1016/j.physa.2008.09.002

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().