文献类型：期刊文献

英文题名：Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index

作者：Mu, Guo-Hua[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, Sch Sci, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[4]E China Univ Sci & Technol, Res Ctr Syst Engn, Shanghai 200237, Peoples R China

年份：2008

卷号：387

期号：21

起止页码：5211

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

收录：;EI(收录号：20083011406401);WOS:【SSCI(收录号:WOS:000258770500023)，SCI-EXPANDED(收录号:WOS:000258770500023)】；

基金：We are grateful to Professor D. Sornette for the insightful comments and the anonymous referees for their invaluable suggestions. This work was partly supported by the National Natural Science Foundation of China (Grant No. 70501011), the Fok Ying Tong Education Foundation (Grant No. 101086), the Shanghai Rising-Star Program (Grant No. 06QA14015), and the Program for New Century Excellent Talents in University (Grant No. NCET-07-0288).

语种：英文

外文关键词：Econophysics; Chinese stock market; power-law relaxation; Omori law; volatility dynamics

摘要：The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks based on large volatilities rather than large crashes. We find that the occurrence rate of aftershocks with the magnitude exceeding a given threshold for both daily volatility (constructed using 1-minute data) and minutely volatility (using intra-minute data) decays as a power law. The power-law relaxation exponent increases with the volatility threshold and is significantly greater than 1. Taking financial volatility as the counterpart of seismic activity, the power-law relaxation in financial volatility deviates remarkably from the Omori law in Geophysics. (C) 2008 Elsevier B.V. All rights reserved.