Volume 84, Number 6, December 2008
|Number of page(s)||6|
|Section||Interdisciplinary Physics and Related Areas of Science and Technology|
|Published online||23 December 2008|
Multiscaling behavior in the volatility return intervals of Chinese indices
School of Business, East China University of Science and Technology - Shanghai 200237, China
2 Research Center for Econophysics, East China University of Science and Technology - Shanghai 200237, China
3 School of Science, East China University of Science and Technology - Shanghai 200237, China
4 Engineering Research Center of Process Systems Engineering (Ministry of Education), East China University of Science and Technology - Shanghai 200237, China
Accepted: 12 November 2008
We investigate the probability distribution of the return intervals between successive 1-min volatilities of two Chinese indices exceeding a certain threshold q. The Kolmogorov-Smirnov (KS) tests show that the two indices exhibit multiscaling behavior in the distribution of , which follows a stretched exponential form with different correlation exponent γ for different threshold q, where is the mean return interval corresponding to a certain value of q. An extended self-similarity analysis of the moments provides further evidence of multiscaling in the return intervals. Our results can be viewed as a support to the recent finding of Wang et al. (Phys. Rev. E, 77 (2008) 016109) that the volatility return intervals of stocks exhibit multiscaling behavior.
PACS: 89.65.Gh – Economics; econophysics, financial markets, business and management / 89.75.Da – Systems obeying scaling laws / 05.45.Tp – Time series analysis
© EPLA, 2008
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