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Scaling and memory in the return intervals of realized volatility

Ren, Fei; Gu, Gao-Feng; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 22, pp. 4787-4796

returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling behavior and … distribution for the realized volatility shows a better scaling behavior since 20 stocks (out of 22 stocks) and the SSEC pass the … Kolmogorov–Smirnov (KS) test and exhibit scaling behaviors, among which the scaling function for 8 stocks could be approximated …

Persistent link: https://www.econbiz.de/10011064679

Scaling and memory in the non-Poisson process of limit order cancelation

Ni, Xiao-Hui; Jiang, Zhi-Qiang; Gu, Gao-Feng; Ren, Fei; … - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 14, pp. 2751-2761

of cancelations exhibit a scaling behavior for different stocks. Complex intra-day patterns are also unveiled in the …

Persistent link: https://www.econbiz.de/10010589071

Statistical properties of volatility return intervals of Chinese stocks

Ren, Fei; Guo, Liang; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 6, pp. 881-890

exceeding a certain threshold q are carefully studied. The Kolmogorov–Smirnov (KS) test shows that 12 stocks exhibit scaling …

Persistent link: https://www.econbiz.de/10011060960