Volatility return intervals analysis of the Japanese market

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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 <tau >. 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.
Publisher
SPRINGER
Issue Date
2008-03
Language
English
Article Type
Article
Keywords

FINANCIAL-MARKETS; WAITING-TIMES; TRANSACTION DATA; PRICE CHANGES; POWER-LAW; FLUCTUATIONS; INFLATION; VARIANCE; OPTIONS; MEMORY

Citation

EUROPEAN PHYSICAL JOURNAL B, v.62, pp.113 - 119

ISSN
1434-6028
DOI
10.1140/epjb/e2008-00123-0
URI
http://hdl.handle.net/10203/88730
Appears in Collection
PH-Journal Papers(저널논문)
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