文献类型：期刊文献

英文题名：Multiscaling behavior in the volatility return intervals of Chinese indices

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]E China Univ Sci & Technol, Minist Educ, Engn Res Ctr Proc Syst Engn, Shanghai 200237, Peoples R China

年份：2008

卷号：84

期号：6

外文期刊名：EPL

收录：;WOS:【SCI-EXPANDED(收录号:WOS:000263598900034)】；

基金：This work was partially supported by the Shanghai Educational Development Foundation (No. 2008CG37), the National Natural Science Foundation of China (No. 70501011), the Fok Ying Tong Education Foundation (No. 101086), and the Program for New Century Excellent Talents in University (No. NCET-07-0288).

语种：英文

摘要：We investigate the probability distribution of the return intervals tau between successive 1-min volatilities of two Chinese indices exceeding a certain threshold q. The Kolmogorov-Smirnov (KS) tests show that the two indices exhibit multiscaling behavior in the distribution of tau, which follows a stretched exponential form f(q)(tau/) similar to e(-(a tau/)gamma) with different correlation exponent gamma for different threshold q, where is the mean return interval corresponding to a certain value of q. An extended self-similarity analysis of the moments provides further evidence of multiscaling in the return intervals. Our results can be viewed as a support to the recent finding of Wang et al. (Phys. Rev. E, 77 (2008) 016109) that the volatility return intervals of stocks exhibit multiscaling behavior. Copyright (C) EPLA, 2008