文献类型：期刊文献

英文题名：Scaling and memory in the return intervals of realized volatility

作者：Ren, Fei[1,2,3];Gu, Gao-Feng[1,2,4];Zhou, Wei-Xing[1,2,3,4,5]

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, 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

年份：2009

卷号：388

期号：22

起止页码：4787

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20093712296890);WOS:【SCI-EXPANDED(收录号:WOS:000270618500010)】；

基金：This work was partially supported by the Shanghai Educational Development Foundation (2008CG37 and 2008SG29), the National Natural Science Foundation of China (70501011), and the Program for New Century Excellent Talents in University (NCET-07-0288).

语种：英文

外文关键词：Econophysics; Realized volatility; Return interval; Scaling; Long memory

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.