文献类型：期刊文献

英文题名：Scaling and memory effect in volatility return interval of the Chinese stock market

作者：Qiu, T.[1];Guo, L.[2];Chen, G.[1]

机构：[1]Nanchang Hangkong Univ, Sch Elect & Informat Engn, Nanchang 330063, Peoples R China;[2]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China

年份：2008

卷号：387

期号：27

起止页码：6812

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

收录：;EI(收录号：20084211648120);WOS:【SCI-EXPANDED(收录号:WOS:000261402000014)】；

基金：This work was supported by the National Natural Science Foundation of China (Grant Nos. 10747138, 10805025 and 10774080).

语种：英文

外文关键词：Econophysics; Stock markets; Volatility return intervals

摘要：We investigate the probability distribution of the volatility return intervals tau for the Chinese stock market. We rescale both the probability distribution P-q(tau) and the volatility return intervals tau as P-q(tau) = 1/(tau) over barf(tau/(tau) over bar) 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) similar to e(-alpha chi gamma), which suggests memory exists in tau. To demonstrate the memory effect, we investigate the conditional probability distribution P-q(tau/tau(0)), the mean conditional interval and the cumulative probability distribution of the cluster size of tau. 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 tau. The scaling and long memory effect of tau for the Chinese stock market are similar to those obtained from the United States and the Japanese financial markets. (C) 2008 Elsevier B.V. All rights reserved.