Statistics of extreme events in Chinese stock markets

doi:10.1088/1674-1056/23/12/128901

中国物理B ›› 2014, Vol. 23 ›› Issue (12): 128901-128901.doi: 10.1088/1674-1056/23/12/128901

• INTERDISCIPLINARY PHYSICS AND RELATED AREAS OF SCIENCE AND TECHNOLOGY • 上一篇

Statistics of extreme events in Chinese stock markets

吴干华^{a b}, 邱路^a, Mutua Stephen^{a c}, 李信利^{a d}, 杨悦^a, 杨会杰^a, 蒋艳^a

a Business School, University of Shanghai for Science and Technology, Shanghai 200093, China;
b School of Software, South China Normal University, Foshan 528225, China;
c Computer Science Department, Masinde Muliro University of Science and Technology, P. O. Box 190-50100, Kakamega, Kenya;
d Logistic School, Linyi University, Linyi 276000, China

收稿日期:2014-04-10 修回日期:2014-06-10 出版日期:2014-12-15 发布日期:2014-12-15
基金资助:
Project supported by the National Natural Science Foundation of China (Grant No. 10975099), the Program for Professor of Special Appointment (Eastern Scholar) at Shanghai Institutions of Higher Learning, the Innovation Program of Shanghai Municipal Education Commission (Grant No. 13YZ072), the Shanghai Leading Discipline Project (Grant No. XTKX2012), and the Innovation Fund Project for Graduate Students of Shanghai (Grant No. JWCXSL1302).

Statistics of extreme events in Chinese stock markets

Wu Gan-Hua (吴干华)^{a b}, Qiu Lu (邱路)^a, Mutua Stephen^{a c}, Li Xin-Li (李信利)^{a d}, Yang Yue (杨悦)^a, Yang Hui-Jie (杨会杰)^a, Jiang Yan (蒋艳)^a

a Business School, University of Shanghai for Science and Technology, Shanghai 200093, China;
b School of Software, South China Normal University, Foshan 528225, China;
c Computer Science Department, Masinde Muliro University of Science and Technology, P. O. Box 190-50100, Kakamega, Kenya;
d Logistic School, Linyi University, Linyi 276000, China

Received:2014-04-10 Revised:2014-06-10 Online:2014-12-15 Published:2014-12-15
Contact: Yang Hui-Jie E-mail:hjyang@ustc.edu.cn
Supported by:
Project supported by the National Natural Science Foundation of China (Grant No. 10975099), the Program for Professor of Special Appointment (Eastern Scholar) at Shanghai Institutions of Higher Learning, the Innovation Program of Shanghai Municipal Education Commission (Grant No. 13YZ072), the Shanghai Leading Discipline Project (Grant No. XTKX2012), and the Innovation Fund Project for Graduate Students of Shanghai (Grant No. JWCXSL1302).

摘要/Abstract

摘要：

We investigate the impact of financial factors on daily volume recurrent time intervals in the developing Chinese stock markets. The tails of probability distribution functions (PDFs) of volume recurrent intervals behave as a power-law, and the scaling exponent decreases with the increase of stock lifetime, which are similar to those in the US stock markets, and they are typical representatives of developed markets. The difference is that the power-law exponent values remain almost the same with the changes of market capitalization, mean volume, and mean trading value, respectively. These findings enrich the results for event statistics for financial markets.

关键词: extreme statistics, recurrent time interval, volume volatility

Abstract:

Key words: extreme statistics, recurrent time interval, volume volatility

中图分类号: (Economics; econophysics, financial markets, business and management)

89.65.Gh

05.45.Tp (Time series analysis) 89.75.Da (Systems obeying scaling laws)

吴干华, 邱路, Mutua Stephen, 李信利, 杨悦, 杨会杰, 蒋艳. Statistics of extreme events in Chinese stock markets[J]. 中国物理B, 2014, 23(12): 128901-128901.

Wu Gan-Hua (吴干华), Qiu Lu (邱路), Mutua Stephen, Li Xin-Li (李信利), Yang Yue (杨悦), Yang Hui-Jie (杨会杰), Jiang Yan (蒋艳). Statistics of extreme events in Chinese stock markets[J]. Chin. Phys. B, 2014, 23(12): 128901-128901.

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Statistics of extreme events in Chinese stock markets

Statistics of extreme events in Chinese stock markets

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