Volatility return intervals analysis of the Japanese market

W. S. Jung, F. Z. Wang, S. Havlin, T. Kaizoji, H. T. Moon, H. E. Stanley

Research output: Contribution to journalArticlepeer-review

35 Scopus citations


We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold q for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the return interval τ and its mean τ. We also find memory effects such that a large (or small) return interval follows a large (or small) interval by investigating the conditional distribution and mean return interval. The results are similar to previous studies of other markets and indicate that similar statistical features appear in different financial markets. We also compare our results between the period before and after the big crash at the end of 1989. We find that scaling and memory effects of the return intervals show similar features although the statistical properties of the returns are different.

Original languageEnglish
Pages (from-to)113-119
Number of pages7
JournalEuropean Physical Journal B
Issue number1
StatePublished - Mar 2008


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