Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 21, 2008, Pages 5211-5218

  Mu, Guo Hua ^a   Zhou, Wei Xing ^a,b  

^a EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^b EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

Chinese stock market; Econophysics; Omori law; Power law relaxation; Volatility dynamics

Indexed keywords

DYNAMICS; EARTH SCIENCES; RELAXATION PROCESSES;

ELSEVIER (CO); FINANCIAL VOLATILITY; HIGH-FREQUENCY DATA; OMORI LAW; POWER LAWS; RELAXATION DYNAMICS; SEISMIC ACTIVITIES; STOCK EXCHANGES;

EARTHQUAKE EFFECTS;

EID: 47649122825     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.05.019     Document Type: Article

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