Statistics of extreme events in Chinese stock markets

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

Abstract

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.

Keywords: extreme statistics recurrent time interval volume volatility

Received: 10 April 2014
Revised: 10 June 2014
Accepted manuscript online:

PACS:	89.65.Gh	(Economics; econophysics, financial markets, business and management)
	05.45.Tp	(Time series analysis)
	89.75.Da	(Systems obeying scaling laws)

Fund:

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).

Corresponding Authors: Yang Hui-Jie
E-mail: hjyang@ustc.edu.cn

Cite this article:

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 2014 Chin. Phys. B 23 128901


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