𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Stock market return and volatility: day-of-the-week effect

✍ Scribed by M. Hakan Berument; Nukhet Dogan


Book ID
113099467
Publisher
Springer US
Year
2010
Tongue
English
Weight
244 KB
Volume
36
Category
Article
ISSN
1055-0925

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Scaling and memory effect in volatility
✍ T. Qiu; L. Guo; G. Chen πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 919 KB

We investigate the probability distribution of the volatility return intervals Ο„ for the Chinese stock market. We rescale both the probability distribution P q (Ο„ ) and the volatility return intervals Ο„ as P q (Ο„ ) = 1/Ο„ f (Ο„ /Ο„ ) to obtain a uniform scaling curve for different threshold value q. Th