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Statistical analysis of high frequency data from the Athens stock exchange

Mills, Terence C. - In: Physica A: Statistical Mechanics and its Applications 293 (2001) 3, pp. 566-572

. Volatility also scales, but with a cross-over point of 1 day, with long-run correlations being particularly important. …

Persistent link: https://www.econbiz.de/10010589795

Effective decorrelation and space dimensionality reduction of multiscaling volatility

Capobianco, Enrico - In: Physica A: Statistical Mechanics and its Applications 340 (2004) 1, pp. 340-346

time series analysis due to the characteristic features of volatility processes. Provided that one can approximate the … volatility process. …

Persistent link: https://www.econbiz.de/10010589913

Virtual volatility

Silva, A. Christian; Prange, Richard E. - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 507-516

We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in … the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the … portfolio. Finally, we briefly discuss the potential practical effect of the virtual volatility on an investor asset allocation …

Persistent link: https://www.econbiz.de/10010590099

Non-linear characteristics and long-range correlations in Asian stock markets

Jiang, J.; Ma, K.; Cai, X. - In: Physica A: Statistical Mechanics and its Applications 378 (2007) 2, pp. 399-407

analysis (DFA) to investigate the long range correlation of the volatility in the stock markets, we find that the crossover … phenomena exist in the results of DFA. Further, in the region of small volatility, the scaling behavior is more complicated; in … the region of large volatility, the scaling exponent is close to 0.5, which suggests the market is more efficient. All …

Persistent link: https://www.econbiz.de/10010590109

Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents

Kaizoji, Taisei; Bornholdt, Stefan; Fujiwara, Yoshi - In: Physica A: Statistical Mechanics and its Applications 316 (2002) 1, pp. 441-452

The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log-returns of stock prices to magnetization in the model and find that it is closely related to trading volume as...

Persistent link: https://www.econbiz.de/10010590787

Waiting time distributions of the volatility in the Italian MIB30 index: Clustering or Poisson functions?

Greco, Antonella; Sorriso-Valvo, Luca; Carbone, Vincenzo; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 16, pp. 4272-4284

long persistent time lag and slow decay in the autocorrelation functions of volatility. Besides, we find that the … scales; we also find that the PDFs of volatility, for short time horizons, fit better with a log-normal distribution than …

Persistent link: https://www.econbiz.de/10010590893

Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence

Power, Gabriel J.; Turvey, Calum G. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 1, pp. 79-90

of long-range dependence in the volatility of 14 energy and agricultural commodity futures price series using the …

Persistent link: https://www.econbiz.de/10010591032

Multifractal diffusion entropy analysis on stock volatility in financial markets

Huang, Jingjing; Shang, Pengjian; Zhao, Xiaojun - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 22, pp. 5739-5745

this method to stock volatility series. The method uses the techniques of the diffusion process and Rényi entropy to focus … on the scaling behaviors of regular volatility and extreme volatility respectively in developed and emerging markets. It … successfully distinguishes their differences where regular volatility exhibits long-range persistence while extreme volatility …

Persistent link: https://www.econbiz.de/10010591035

The first 20 min in the Hong Kong stock market

Huang, Zhi-Feng - In: Physica A: Statistical Mechanics and its Applications 287 (2000) 3, pp. 405-411

exponent about four or an exponential-type decay, the volatility, and its correlations depend on the opening effect of each …

Persistent link: https://www.econbiz.de/10010591049

Asymmetry and long-memory volatility: Some empirical evidence using GARCH

Wen Cheong, Chin; Hassan Shaari Mohd Nor, Abu; Isa, Zaidi - In: Physica A: Statistical Mechanics and its Applications 373 (2007) C, pp. 651-664

This paper investigates the asymmetry and long-memory volatility behavior of the Malaysian Stock Exchange daily data … volatility and long-memory behavior of the volatility are fitted by the asymmetry GARCH models and GARCH with the inclusion of … realized volatility at the final period. Across the periods, the results show the mixture of symmetry and asymmetry GARCH …

Persistent link: https://www.econbiz.de/10010591197