文献类型：期刊文献

英文题名：Recurrence interval analysis of high-frequency financial returns and its application to risk estimation

作者：Ren, Fei[1,2];Zhou, Wei-Xing[1,2,3,4]

机构：[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, Sch Sci, Shanghai 200237, Peoples R China;[4]Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100080, Peoples R China

年份：2010

卷号：12

外文期刊名：NEW JOURNAL OF PHYSICS

收录：;EI(收录号：20103213145707);WOS:【SCI-EXPANDED(收录号:WOS:000281234000002)】；

基金：We are grateful to Kun Guo (Research Center on Fictitious Economics and Data Science, Chinese Academy of Sciences) for retrieving the data analyzed in this work and Gao-Feng Gu (School of Business, East China University of Science and Technology) for preprocessing the data. This work was partially supported by the 'Chen Guang' project and 'Shu Guang' project sponsored by Shanghai Municipal Education Commission and Shanghai Education Development Foundation (2008CG37 and 2008SG29), the Program for New Century Excellent Talents in University (NCET-07-0288), the Zhejiang Provincial Natural Science Foundation of China (Z6090130) and the National Natural Science Foundation of China (10905023).

语种：英文

外文关键词：Frequency estimation - Risk assessment - Commerce - Financial markets - Risk perception - Value engineering

摘要：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 market. The distributions of recurrence intervals for positive and negative thresholds are symmetric, and display power-law tails tested by three goodness-of-fit measures, including the Kolmogorov-Smirnov ( KS) statistic, the weighted KS statistic and the Cramer-von Mises criterion. Both long-term and shot-term memory effects are observed in the recurrence intervals for positive and negative thresholds q. We further apply the recurrence interval analysis to the risk estimation for the Chinese stock markets based on the probability W-q(Delta t, t), value-at-risk (VaR) analysis and VaR analysis conditioned on preceding recurrence intervals.