文献类型：期刊文献

英文题名：Statistical properties of volatility return intervals of Chinese stocks

作者：Ren, Fei[1,2];Guo, Liang[1];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, Engn Res Ctr Proc Syst Engn, Minist Educ, Shanghai 200237, Peoples R China

年份：2009

卷号：388

期号：6

起止页码：881

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

收录：;EI(收录号：20090311863956);WOS:【SCI-EXPANDED(收录号:WOS:000263401700012)】；

基金：We thank Z.-Q. Jiang, G.-F. Gu, G.-H. Mu and T. Qiu for helpful discussions and suggestions. 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

外文关键词：Econophysics; Volatility return interval; Scaling; Long memory

摘要：The statistical properties of the return intervals tau(q) between successive 1-min volatilities of 30 liquid Chinese stocks exceeding a certain threshold q are carefully studied. The Kolmogorov-Smirnov (KS) test shows that 12 stocks exhibit scaling behaviors in the distributions of tau(q) for different thresholds q. Furthermore, the KS test and weighted KS test show that the scaled return interval distributions of 6 stocks (out of the 12 stocks) can be nicely fitted by a stretched exponential function f(tau/(tau) over bar) - e(-alpha(tau/<(tau)over) b(ar>)gamma) with gamma approximate to 0.31 under the significance level of 5%, where (tau) over bar is the mean return interval. The investigation of the conditional probability distribution P(q)(tau vertical bar tau(0)) and the mean conditional return interval demonstrates the existence of short-term correlation between successive return interval intervals. We further study the mean return interval after a cluster of n intervals and the fluctuation F(l) using detrended fluctuation analysis, and find that long-term memory also exists in the volatility return intervals. (C) 2008 Elsevier B.V. All rights reserved.