Statistics of extreme events in Chinese stock markets

查看全文 作　　者：[1,2]吴干华;[1]邱路;Mutua [1,3]Stephen;[1,4]李信利;[1]杨悦;[1]杨会杰;[1]蒋艳

机构地区：[1]Business School, University of Shanghai for Science and Technology;[2]School of Software, South China Normal University;[3]Computer Science Department, Masinde Muliro University of Science and Technology;[4]Logistic School, Linyi University

出　　处：《Chinese Physics B》索引2014年第23卷第12期,共5页

基　　金：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);the Innovation Fund Project for Graduate Students of Shanghai(Grant No.JWCXSL1302) 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：统计数据极端事件股市中国概率分布函数平均体积复发间隔股票市场

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Statistics of extreme events in Chinese stock markets

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