| Scaling and memory in the return intervals of realized volatility | |
| Ren, Fei1,2,3; Gu, Gao-Feng1,2,4; Zhou, Wei-Xing1,2,3,4,5 | |
| 刊名 | Physica a-statistical mechanics and its applications
 |
| 2009-11-15 | |
| 卷号 | 388期号:22页码:4787-4796 |
| 关键词 | Econophysics Realized volatility Return interval Scaling Long memory |
| ISSN号 | 0378-4371 |
| DOI | 10.1016/j.physa.2009.08.009 |
| 通讯作者 | Zhou, wei-xing(wxzhou@ecust.edu.cn) |
| 英文摘要 | We perform return interval analysis of 1-min 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 behavior and memory effect of the return intervals between successive realized volatilities above a certain threshold q are carefully investigated. in comparison with the volatility defined by the closest tick prices to the minute marks, the return interval distribution for the realized volatility shows a better scaling behavior since 20 stocks (out of 22 stocks) and the ssec pass the kolmogorov-smirnov (ks) test and exhibit scaling behaviors, among which the scaling function for 8 stocks could be approximated well by a stretched exponential distribution revealed by the ks goodness-of-fit test under the significance level of 5%. the improved scaling behavior is further confirmed by the relation between the fitted exponent gamma and the threshold q. in addition, the similarity of the return interval distributions for different stocks is also observed for the realized volatility. the investigation of the conditional probability distribution and the detrended fluctuation analysis (dfa) show that both short-term and long-term memory exists in the return intervals of realized volatility. (c) 2009 elsevier b.v. all rights reserved. |
| WOS关键词 | WAITING-TIME DISTRIBUTION ; FINANCIAL-MARKETS ; CHINESE STOCKS ; RARE EVENTS ; POWER-LAW ; INDEX |
| WOS研究方向 | Physics |
| WOS类目 | Physics, Multidisciplinary |
| 语种 | 英语 |
| 出版者 | ELSEVIER SCIENCE BV |
| WOS记录号 | WOS:000270618500010 |
| 内容类型 | 期刊论文 |
| URI标识 | http://www.corc.org.cn/handle/1471x/2402801 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Zhou, Wei-Xing |
| 作者单位 | 1.E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China 2.E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China 3.E China Univ Sci & Technol, Engn Res Ctr Proc Syst Engn, Minist Educ, Shanghai 200237, Peoples R China 4.E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China 5.Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Ren, Fei,Gu, Gao-Feng,Zhou, Wei-Xing. Scaling and memory in the return intervals of realized volatility[J]. Physica a-statistical mechanics and its applications,2009,388(22):4787-4796. |
| APA | Ren, Fei,Gu, Gao-Feng,&Zhou, Wei-Xing.(2009).Scaling and memory in the return intervals of realized volatility.Physica a-statistical mechanics and its applications,388(22),4787-4796. |
| MLA | Ren, Fei,et al."Scaling and memory in the return intervals of realized volatility".Physica a-statistical mechanics and its applications 388.22(2009):4787-4796. |
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