Scaling and memory effect in volatility return interval of the Chinese stock market

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 27, 2008, Pages 6812-6818

  Qiu, T ^a   Guo, L ^b   Chen, G ^a  

^a NANCHANG HANGKONG UNIVERSITY   (China)

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

Author keywords

Econophysics; Stock markets; Volatility return intervals

Indexed keywords

COMMERCE; EXPONENTIAL FUNCTIONS; FINANCIAL MARKETS;

CHINESE STOCK MARKET; CLUSTERING EFFECT; CONDITIONAL PROBABILITY DISTRIBUTIONS; CUMULATIVE PROBABILITY DISTRIBUTION; ECONOPHYSICSS; STRETCHED EXPONENTIAL FUNCTIONS; THRESHOLD-VALUE; VOLATILITY RETURN INTERVALS;

PROBABILITY DISTRIBUTIONS;

EID: 53749084197     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.09.002     Document Type: Article

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