TY - GEN
T1 - Temporal structure of volatility fluctuations
AU - Wang, Fengzhong
AU - Yamasaki, Kazuko
AU - Stanley, H. Eugene
AU - Havlin, Shlomo
PY - 2010
Y1 - 2010
N2 - Volatility fluctuations are of great importance for the study of financial markets, and the temporal structure is an essential feature of fluctuations. To explore the temporal structure, we employ a new approach based on the return interval, which is defined as the time interval between two successive volatility values that are above a given threshold. We find that the distribution of the return intervals follows a scaling law over a wide range of thresholds, and over a broad range of sampling intervals. Moreover, this scaling law is universal for stocks of different countries, for commodities, for interest rates, and for currencies. However, further and more detailed analysis of the return intervals shows some systematic deviations from the scaling law. We also demonstrate a significant memory effect in the return intervals time organization. We find that the distribution of return intervals is strongly related to the correlations in the volatility.
AB - Volatility fluctuations are of great importance for the study of financial markets, and the temporal structure is an essential feature of fluctuations. To explore the temporal structure, we employ a new approach based on the return interval, which is defined as the time interval between two successive volatility values that are above a given threshold. We find that the distribution of the return intervals follows a scaling law over a wide range of thresholds, and over a broad range of sampling intervals. Moreover, this scaling law is universal for stocks of different countries, for commodities, for interest rates, and for currencies. However, further and more detailed analysis of the return intervals shows some systematic deviations from the scaling law. We also demonstrate a significant memory effect in the return intervals time organization. We find that the distribution of return intervals is strongly related to the correlations in the volatility.
UR - http://www.scopus.com/inward/record.url?scp=84890095235&partnerID=8YFLogxK
U2 - 10.1007/978-4-431-53853-0_4
DO - 10.1007/978-4-431-53853-0_4
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AN - SCOPUS:84890095235
SN - 9784431538523
T3 - Econophysics Approaches to Large-Scale Business Data and Financial Crisis - Proceedings of the Tokyo Tech-Hitotsubashi Interdisciplinary Conference + APFA7, THIC+APFA7 2009
SP - 65
EP - 77
BT - Econophysics Approaches to Large-Scale Business Data and Financial Crisis - Proceedings of the Tokyo Tech-Hitotsubashi Interdisciplinary Conference + APFA7, THIC+APFA7 2009
PB - Springer Japan
T2 - International Conference on Tokyo Tech-Hitotsubashi Interdisciplinary + Applications of Physics in Financial Analysis: New Approaches to the Analysis of Large-Scale Business and Economic Data, THIC+APFA7 2009
Y2 - 1 March 2009 through 5 March 2009
ER -