Volatility return intervals analysis of the Japanese market
SCIE
SCOPUS
- Title
- Volatility return intervals analysis of the Japanese market
- Authors
- Jung, WS; Fengzhong Wang; Shlomo Havlin; Taisei Kaizoji; Hie-Tae Moon; H. Eugene Stanley
- Date Issued
- 2008-03
- Publisher
- Springer
- Abstract
- We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold q for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the return interval tau and its mean . We also find memory effects such that a large (or small) return interval follows a large (or small) interval by investigating the conditional distribution and mean return interval. The results are similar to previous studies of other markets and indicate that similar statistical features appear in different financial markets. We also compare our results between the period before and after the big crash at the end of 1989. We find that scaling and memory effects of the return intervals show similar features although the statistical properties of the returns are different.
- Keywords
- FINANCIAL-MARKETS; WAITING-TIMES; TRANSACTION DATA; PRICE CHANGES; POWER-LAW; FLUCTUATIONS; INFLATION; VARIANCE; OPTIONS; MEMORY
- URI
- https://oasis.postech.ac.kr/handle/2014.oak/25237
- DOI
- 10.1140/EPJB/E2008-00123-0
- ISSN
- 1434-6028
- Article Type
- Article
- Citation
- EUROPEAN PHYSICAL JOURNAL B, vol. 62, no. 1, page. 113 - 119, 2008-03
- Files in This Item:
- There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.