中国股市波动收益区间的尺度和记忆效应 股票市场

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

摘要翻译：
我们研究了中国股票市场波动率回报区间$\tau$的概率分布。我们将概率分布$P_{q}(\tau)$和波动率回报区间$\tau$都重新定义为$P_{q}(\tau)=1/\bar{\tau}f(\tau/\bar{\tau})$以获得不同阈值$q$的统一标度曲线。标度曲线可以用伸缩指数函数$f(x)\sim e^{-\alpha x^{\gamma}}$很好地拟合，说明内存存在于$\tau$中。为了证明记忆效应，我们研究了条件概率分布$P_{q}(\tau\tau_{0}）$、平均条件间隔$<\tau\tau_{0}>$和簇大小的累积概率分布$\tau$。结果显示出明显的聚类效应。我们进一步研究了持续概率分布$P_{\pm}(t)$,发现$P_{-}(t)$以幂律衰减，其指数与随机游动的0.5相差甚远，进一步证实了$\tau$中存在长记忆。中国股票市场的$\tau$标度效应和长记忆效应与美国和日本金融市场的类似。
---
英文标题：
《Scaling and Memory Effect in Volatility Return Interval of the Chinese
  Stock Market》
---
作者：
Tian Qiu (NHU), Liang Guo (ECUST), Guang Chen (NHU)
---
最新提交年份：
2008
---
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
--
一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
--

---
英文摘要：
  We investigate the probability distribution of the volatility return intervals $\tau$ for the Chinese stock market. We rescale both the probability distribution $P_{q}(\tau)$ and the volatility return intervals $\tau$ as $P_{q}(\tau)=1/\bar{\tau} f(\tau/\bar{\tau})$ to obtain a uniform scaling curve for different threshold value $q$. The scaling curve can be well fitted by the stretched exponential function $f(x) \sim e^{-\alpha x^{\gamma}}$, which suggests memory exists in $\tau$. To demonstrate the memory effect, we investigate the conditional probability distribution $P_{q} (\tau|\tau_{0})$, the mean conditional interval $<\tau|\tau_{0}>$ and the cumulative probability distribution of the cluster size of $\tau$. The results show clear clustering effect. We further investigate the persistence probability distribution $P_{\pm}(t)$ and find that $P_{-}(t)$ decays by a power law with the exponent far different from the value 0.5 for the random walk, which further confirms long memory exists in $\tau$. The scaling and long memory effect of $\tau$ for the Chinese stock market are similar to those obtained from the United States and the Japanese financial markets.
---
PDF链接：
https://arxiv.org/pdf/0805.2194

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：股票市场 中国股市 股票市 国股市 distribution bar different 日本 intervals market