Statistical regularities in the return intervals of volatility

DOI10.1140/EPJB/E2006-00356-9MaRDI QIDQ978840zbMATH OpenOpenAlexFDO

Authors J. Martínez

Publication date 25 June 2010

Published in The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1140/epjb/e2006-00356-9

Mathematics Subject Classification ID

Economic time series analysis (91B84) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 480659 (Why is no real title available?)
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Introduction to Econophysics
• Large stock price changes: volume or liquidity?
• LÉVY FLIGHTS: CHAOTIC, TURBULENT, AND RELATIVISTIC
• Microscopic models for long ranged volatility correlations
• More statistical properties of order books and price impact
• Multiscale behaviour of volatility autocorrelations in a financial market
• Option pricing: A simplified approach
• Order book approach to price impact
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• The pricing of options and corporate liabilities
• Theory of Financial Risk and Derivative Pricing
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Varieties of long memory models

Cited in

(6)

• Statistical properties of long return times in type I intermittency
• Modeling the variance of return intervals toward volatility prediction
• Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
• Long memory behavior of returns after intraday financial jumps
• Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
• Volatility return intervals analysis of the Japanese market

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