Volatility return intervals analysis of the Japanese market
نویسندگان
چکیده
منابع مشابه
Volatility return intervals analysis of the Japanese market
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 τ and its mean 〈τ 〉. We also find memory effects such that a la...
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ژورنال
عنوان ژورنال: The European Physical Journal B
سال: 2008
ISSN: 1434-6028,1434-6036
DOI: 10.1140/epjb/e2008-00123-0