英文标题：
《Early warning of large volatilities based on recurrence interval
analysis in Chinese stock markets》
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作者：
Zhi-Qiang Jiang (ECUST, BU), Askery A. Canabarro (UFAL, BU), Boris
Podobnik (UR), H. Eugene Stanley (BU), and Wei-Xing Zhou (ECUST)
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最新提交年份：
2015
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英文摘要：
Being able to forcast extreme volatility is a central issue in financial risk management. We present a large volatility predicting method based on the distribution of recurrence intervals between volatilities exceeding a certain threshold $Q$ for a fixed expected recurrence time $\\tau_Q$. We find that the recurrence intervals are well approximated by the $q$-exponential distribution for all stocks and all $\\tau_Q$ values. Thus a analytical formula for determining the hazard probability $W(\\Delta t |t)$ that a volatility above $Q$ will occur within a short interval $\\Delta t$ if the last volatility exceeding $Q$ happened $t$ periods ago can be directly derived from the $q$-exponential distribution, which is found to be in good agreement with the empirical hazard probability from real stock data. Using these results, we adopt a decision-making algorithm for triggering the alarm of the occurrence of the next volatility above $Q$ based on the hazard probability. Using a \"receiver operator characteristic\" (ROC) analysis, we find that this predicting method efficiently forecasts the occurrance of large volatility events in real stock data. Our analysis may help us better understand reoccurring large volatilities and more accurately quantify financial risks in stock markets.
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中文摘要：
能够预测极端波动是金融风险管理的核心问题。我们提出了一种大波动率预测方法，该方法基于在固定的预期重现时间$\\tau_Q$下，超过某个阈值$Q$的波动率之间的重现间隔分布。我们发现，对于所有股票和所有$\\tau_q$值，递归区间都很好地近似于$q$指数分布。因此，如果最后一次波动超过$Q$发生在$t$时期之前，则确定$Q$以上的波动将在短时间内发生的风险概率$W（\\Delta t | t）$的分析公式可以直接从$Q$指数分布中导出，这与真实股票数据的经验风险概率非常一致。利用这些结果，我们采用了一种决策算法，根据风险概率触发下一个高于$Q$的波动的警报。通过“接收器-运算子特征”（ROC）分析，我们发现这种预测方法可以有效地预测真实股票数据中大波动事件的发生。我们的分析可能有助于我们更好地理解再次发生的巨大波动，并更准确地量化股市中的金融风险。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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