DC Field | Value | Language |
---|---|---|
dc.contributor.author | Jung, WS | - |
dc.contributor.author | Fengzhong Wang | - |
dc.contributor.author | Shlomo Havlin | - |
dc.contributor.author | Taisei Kaizoji | - |
dc.contributor.author | Hie-Tae Moon | - |
dc.contributor.author | H. Eugene Stanley | - |
dc.date.accessioned | 2016-04-01T02:29:40Z | - |
dc.date.available | 2016-04-01T02:29:40Z | - |
dc.date.created | 2010-12-20 | - |
dc.date.issued | 2008-03 | - |
dc.identifier.issn | 1434-6028 | - |
dc.identifier.other | 2008-OAK-0000022504 | - |
dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/25237 | - |
dc.description.abstract | We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold q for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the return interval tau and its mean <tau >. We also find memory effects such that a large (or small) return interval follows a large (or small) interval by investigating the conditional distribution and mean return interval. The results are similar to previous studies of other markets and indicate that similar statistical features appear in different financial markets. We also compare our results between the period before and after the big crash at the end of 1989. We find that scaling and memory effects of the return intervals show similar features although the statistical properties of the returns are different. | - |
dc.description.statementofresponsibility | X | - |
dc.language | English | - |
dc.publisher | Springer | - |
dc.relation.isPartOf | EUROPEAN PHYSICAL JOURNAL B | - |
dc.subject | FINANCIAL-MARKETS | - |
dc.subject | WAITING-TIMES | - |
dc.subject | TRANSACTION DATA | - |
dc.subject | PRICE CHANGES | - |
dc.subject | POWER-LAW | - |
dc.subject | FLUCTUATIONS | - |
dc.subject | INFLATION | - |
dc.subject | VARIANCE | - |
dc.subject | OPTIONS | - |
dc.subject | MEMORY | - |
dc.title | Volatility return intervals analysis of the Japanese market | - |
dc.type | Article | - |
dc.contributor.college | 기술경영 대학원 과정 | - |
dc.identifier.doi | 10.1140/EPJB/E2008-00123-0 | - |
dc.author.google | Jung, WS | - |
dc.author.google | Wang, FZ | - |
dc.author.google | Havlin, S | - |
dc.author.google | Kaizoji, T | - |
dc.author.google | Moon, HT | - |
dc.author.google | Stanley, HE | - |
dc.relation.volume | 62 | - |
dc.relation.issue | 1 | - |
dc.relation.startpage | 113 | - |
dc.relation.lastpage | 119 | - |
dc.contributor.id | 10150087 | - |
dc.relation.journal | EUROPEAN PHYSICAL JOURNAL B | - |
dc.relation.index | SCI급, SCOPUS 등재논문 | - |
dc.relation.sci | SCI | - |
dc.collections.name | Journal Papers | - |
dc.type.rims | ART | - |
dc.identifier.bibliographicCitation | EUROPEAN PHYSICAL JOURNAL B, v.62, no.1, pp.113 - 119 | - |
dc.identifier.wosid | 000254442300017 | - |
dc.date.tcdate | 2019-02-01 | - |
dc.citation.endPage | 119 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 113 | - |
dc.citation.title | EUROPEAN PHYSICAL JOURNAL B | - |
dc.citation.volume | 62 | - |
dc.contributor.affiliatedAuthor | Jung, WS | - |
dc.identifier.scopusid | 2-s2.0-41549127422 | - |
dc.description.journalClass | 1 | - |
dc.description.journalClass | 1 | - |
dc.description.wostc | 29 | - |
dc.description.scptc | 31 | * |
dc.date.scptcdate | 2018-05-121 | * |
dc.type.docType | Article | - |
dc.subject.keywordPlus | FINANCIAL-MARKETS | - |
dc.subject.keywordPlus | WAITING-TIMES | - |
dc.subject.keywordPlus | TRANSACTION DATA | - |
dc.subject.keywordPlus | PRICE CHANGES | - |
dc.subject.keywordPlus | POWER-LAW | - |
dc.subject.keywordPlus | FLUCTUATIONS | - |
dc.subject.keywordPlus | INFLATION | - |
dc.subject.keywordPlus | VARIANCE | - |
dc.subject.keywordPlus | OPTIONS | - |
dc.subject.keywordPlus | MEMORY | - |
dc.relation.journalWebOfScienceCategory | Physics, Condensed Matter | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Physics | - |
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