Multifactor analysis of multiscaling in volatility return intervals

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 79, Issue 1, 2009, Pages

  Wang, Fengzhong ^a   Yamasaki, Kazuko ^a,b   Havlin, Shlomo ^a,c   Stanley, H Eugene ^a  

^a Boston University   (United States)

^b TOKYO UNIVERSITY OF INFORMATION SCIENCES   (Japan)

^c BAR ILAN UNIVERSITY   (Israel)

Author keywords

[No Author keywords available]

Indexed keywords

COMMERCE; FINANCIAL DATA PROCESSING; TIME SERIES;

LINEAR RELATIONS; MARKET ACTIVITIES; MULTI-SCALING; MULTIFACTOR ANALYSIS; NUMBER OF TRADES; PORTFOLIO OPTIMIZATIONS; PORTFOLIO SELECTIONS; POWER LAWS; PROBABILITY DENSITIES; STANDARD DEVIATIONS; STOCK MARKETS; STRETCHED EXPONENTIAL FUNCTIONS; TEMPORAL STRUCTURES; TIME INTERVALS; VOLATILITY RETURN INTERVALS;

PROBABILITY DENSITY FUNCTION;

EID: 58949091586     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.79.016103     Document Type: Article

References (39)

1. B. B. Mandelbrot, J. Business 36, 394 (1963). 10.1086/294632
2. R. N. Mantegna and H. E. Stanley, Nature (London) 376, 46 (1995). 10.1038/376046a0
3. Econophysics: An Emerging Science, edited by, I. Kondor, and, J. Kertész, (Kluwer, Dordrecht, 1999).
4. R. Mantegna and H. E. Stanley, Introduction to Econophysics: Correlations and Complexity in Finance (Cambridge University Press, Cambridge, England, 2000).
5. H. Takayasu, Physica A 184, 127 (1992); 10.1016/0378-4371(92)90161-I
6. H. Takayasu, A. H. Sato, and M. Takayasu, Phys. Rev. Lett. 79, 966 (1997); 10.1103/PhysRevLett.79.966
7. H. Takayasu, Fractals 6, 67 (1998). 10.1142/S0218348X98000080
8. J.-P Bouchaud and M. Potters, Theory of Financial Risk: From Statistical Physics to Risk Management (Cambridge University Press, Cambridge, England, 2000).
9. N. F. Johnson, P. Jefferies, and P. M. Hui, Financial Market Complexity (Oxford University Press, New York, 2003).
10. Y. Liu, P. Gopikrishnan, P. Cizeau, M. Meyer, C.-K. Peng, and H. E. Stanley, Phys. Rev. E 60, 1390 (1999). 10.1103/PhysRevE.60.1390
11. V. Plerou, Quant. Finance 1, 262 (2001); 10.1088/1469-7688/1/2/308
12. V. Plerou, P. Gopikrishnan, and H. E. Stanley, Phys. Rev. E 71, 046131 (2005). 10.1103/PhysRevE.71.046131
13. Z. Ding, C. W. J. Granger, and R. F. Engle, J. Empirical Finance 1, 83 (1993). 10.1016/0927-5398(93)90006-D
14. R. A. Wood, T. H. McInish, and J. K. Ord, J. Financ. 40, 723 (1985). 10.2307/2327796
15. L. Harris, J. Financ. Econ. 16, 99 (1986). 10.1016/0304-405X(86)90044-9
16. A. Bunde, Physica A 342, 308 (2004); 10.1016/j.physa.2004.01.069
17. A. Bunde, J. F. Eichner, J. W. Kantelhardt, and S. Havlin, Phys. Rev. Lett. 94, 048701 (2005). 10.1103/PhysRevLett.94.048701
18. V. N. Livina, S. Havlin, and A. Bunde, Phys. Rev. Lett. 95, 208501 (2005). 10.1103/PhysRevLett.95.208501
19. S. Lennartz, V. N. Livina, A. Bunde, and S. Havlin, Europhys. Lett. 81, 69001 (2008). 10.1209/0295-5075/81/69001
20. E. G. Altmann and H. Kantz, Phys. Rev. E 71, 056106 (2005). 10.1103/PhysRevE.71.056106
21. K. Yamasaki, L. Muchnik, S. Havlin, A. Bunde, and H. E. Stanley, Proc. Natl. Acad. Sci. U.S.A. 102, 9424 (2005). 10.1073/pnas.0502613102
22. F. Wang, K. Yamasaki, S. Havlin, and H. E. Stanley, Phys. Rev. E 73, 026117 (2006); 10.1103/PhysRevE.73.026117
23. F. Wang, Eur. Phys. J. B 55, 123 (2007). 10.1140/epjb/e2006-00356-9
24. P. Weber, F. Wang, I. Vodenska-Chitkushev, S. Havlin, and H. E. Stanley, Phys. Rev. E 76, 016109 (2007). 10.1103/PhysRevE.76.016109
25. I. Vodenska-Chitkushev, F. Wang, P. Weber, K. Yamasaki, S. Havlin, and H. E. Stanley, Eur. Phys. J. B 61, 217 (2008). 10.1140/epjb/e2008-00066-4
26. W.-S. Jung, F. Wang, S. Havlin, T. Kaizoji, H.-T. Moon, and H. E. Stanley, Eur. Phys. J. B 62, 113 (2008). 10.1140/epjb/e2008-00123-0
27. J. F. Eichner, J. W. Kantelhardt, A. Bunde, and S. Havlin, Phys. Rev. E 75, 011128 (2007). 10.1103/PhysRevE.75.011128
28. M. I. Bogachev, J. F. Eichner, and A. Bunde, Phys. Rev. Lett. 99, 240601 (2007). 10.1103/PhysRevLett.99.240601
29. F. Wang, K. Yamasaki, S. Havlin, and H. E. Stanley, Phys. Rev. E 77, 016109 (2008). 10.1103/PhysRevE.77.016109
30. J. Masoliver, M. Montero, and J. Perelló, Phys. Rev. E 71, 056130 (2005). 10.1103/PhysRevE.71.056130
31. G. R. Jafari, M. S. Movahed, S. M. Fazeli, M. Reza Rahimi Tabar, and S. F. Masoudi, J. Stat. Mech.: Theory Exp. (2006) P06008. 10.1088/1742-5468/2006/ 06/P06008
32. T. Di Matteo, Quant. Finance 7, 21 (2007). 10.1080/14697680600969727
33. P. Ch. Ivanov, A. Yuen, B. Podobnik, and Y. Lee, Phys. Rev. E 69, 056107 (2004). 10.1103/PhysRevE.69.056107
34. Z. Eisler and J. Kertesz, Phys. Rev. E 73, 046109 (2006); 10.1103/PhysRevE.73.046109
35. Z. Eisler, Eur. Phys. J. B 51, 145 (2006). 10.1140/epjb/e2006-00189-6
36. E. F. Fama and K. R. French, J. Financ. 51, 55 (1996). 10.2307/2329302
37. H. Markowitz, J. Financ. 7, 77 (1952). 10.2307/2975974
38. C.-K. Peng, S. V. Buldyrev, S. Havlin, M. Simons, H. E. Stanley, and A. L. Goldberger, Phys. Rev. E 49, 1685 (1994); 10.1103/PhysRevE.49.1685
39. C.-K. Peng, Chaos 5, 82 (1995). 10.1063/1.166141