Return intervals analysis of the Hongkong stock market

被引：52

作者：

Zhang, Hong ^{[1
]}

Wang, Nianpeng ^{[1
]}

Dong, Keqiang ^{[2
]}

机构：

[1] Hebei Univ Engn, Coll Sci, Handan, Peoples R China

[2] Beijing Jiatong Univ, Sch Sci, Beijing, Peoples R China

来源：

PROCEEDINGS OF THE 2009 INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE AND NATURAL COMPUTING, VOL I | 2009年

关键词：

Hurst exponent; Return intervals; Time series analysis; Rescaled range; Long-range correlation; FINANCIAL TIME-SERIES; STATISTICAL PHYSICS; HURST EXPONENT;

D O I：

10.1109/CINC.2009.108

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

In this paper, we analyze the Hang Seng Index data for the 22-year period, from December 31, 1986, to June 6, 2008 in the Hongkong stock market, a total of 5315 trading days. Using rescaled range method, we study how the threshold value q affects the correlations of the return intervals r(tau) between events above a certain threshold q. We find that: i) both return intervals obtained by different threshold q and the original series are arranged in long-range dependence behavior; ii) the correlations of the return intervals grow stronger when the threshold q is larger.

引用

页码：262 / +

页数：3

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