Large-volatility dynamics in financial markets

X. F. Jiang, B. Zheng and J. Shen

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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 $p_\pm$ 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.

Date: 2010-02, Revised 2011-03
New Economics Papers: this item is included in nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1002.3747

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