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Volatility return intervals analysis of the Japanese market

โœ Scribed by W.-S. Jung; F. Z. Wang; S. Havlin; T. Kaizoji; H.-T. Moon; H. E. Stanley


Book ID
111622547
Publisher
Springer
Year
2008
Tongue
English
Weight
533 KB
Volume
62
Category
Article
ISSN
1434-6036

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Scaling and memory effect in volatility
โœ T. Qiu; L. Guo; G. Chen ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 919 KB

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