اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدMeasuring Volatility Clustering in Stock Markets
291
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
We propose a novel method to quantify the clustering behavior in a complex time series and apply it to a high-frequency data of the financial markets. We find that regardless of used data sets, all data exhibits the volatility clustering properties, whereas those which filtered the volatility clustering effect by using the GARCH model reduce volatility clustering significantly. The result confirms that our method can measure the volatility clustering effect in financial market.
قيم البحث
اقرأ أيضاً
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter alia. One
advantage of these models is their ability to capture nonlinear dynamics. Another interesting manner to study the volatility phenomena is by using measures based on the concept of entropy. In this paper we investigate the long memory and volatility clustering for the SP 500, NASDAQ 100 and Stoxx 50 indexes in order to compare the US and European Markets. Additionally, we compare the results from conditionally heteroscedastic models with those from the entropy measures. In the latter, we examine Shannon entropy, Renyi entropy and Tsallis entropy. The results corroborate the previous evidence of nonlinear dynamics in the time series considered.
In this study, we attempted to determine how eigenvalues change, according to random matrix theory (RMT), in stock market data as the number of stocks comprising the correlation matrix changes. Specifically, we tested for changes in the eigenvalue pr
operties as a function of the number and type of stocks in the correlation matrix. We determined that the value of the eigenvalue increases in proportion with the number of stocks. Furthermore, we noted that the largest eigenvalue maintains its identical properties, regardless of the number and type, whereas other eigenvalues evidence different features.
The distribution of the return intervals $tau$ between volatilities above a threshold $q$ for financial records has been approximated by a scaling behavior. To explore how accurate is the scaling and therefore understand the underlined non-linear mec
hanism, we investigate intraday datasets of 500 stocks which consist of the Standard & Poors 500 index. We show that the cumulative distribution of return intervals has systematic deviations from scaling. We support this finding by studying the m-th moment $mu_m equiv <(tau/<tau>)^m>^{1/m}$, which show a certain trend with the mean interval $<tau>$. We generate surrogate records using the Schreiber method, and find that their cumulative distributions almost collapse to a single curve and moments are almost constant for most range of $<tau>$. Those substantial differences suggest that non-linear correlations in the original volatility sequence account for the deviations from a single scaling law. We also find that the original and surrogate records exhibit slight tendencies for short and long $<tau>$, due to the discreteness and finite size effects of the records respectively. To avoid as possible those effects for testing the multiscaling behavior, we investigate the moments in the range $10<<tau>leq100$, and find the exponent $alpha$ from the power law fitting $mu_msim<tau>^alpha$ has a narrow distribution around $alpha eq0$ which depend on m for the 500 stocks. The distribution of $alpha$ for the surrogate records are very narrow and centered around $alpha=0$. This suggests that the return interval distribution exhibit multiscaling behavior due to the non-linear correlations in the original volatility.
Different investment strategies are adopted in short-term and long-term depending on the time scales, even though time scales are adhoc in nature. Empirical mode decomposition based Hurst exponent analysis and variance technique have been applied to
identify the time scales for short-term and long-term investment from the decomposed intrinsic mode functions(IMF). Hurst exponent ($H$) is around 0.5 for the IMFs with time scales from few days to 3 months, and $Hgeq0.75$ for the IMFs with the time scales $geq5$ months. Short term time series [$X_{ST}(t)$] with time scales from few days to 3 months and $H~0.5$ and long term time series [$X_{LT}(t)$] with time scales $geq5$ and $Hgeq0.75$, which represent the dynamics of the market, are constructed from the IMFs. The $X_{ST}(t)$ and $X_{LT}(t)$ show that the market is random in short-term and correlated in long term. The study also show that the $X_{LT}(t)$ is correlated with fundamentals of the company. The analysis will be useful for investors to design the investment and trading strategy.
We investigate the large-volatility dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a power law, an
d the exponents $p_pm$ usually vary with the strength of the large volatilities. The large-volatility dynamics is time-reversal symmetric at the time scale in minutes, while asymmetric at the daily time scale. Careful analysis reveals that the time-reversal asymmetry is mainly induced by exogenous events. It is also the exogenous events which drive the financial dynamics to a non-stationary state. Different characteristics of the Chinese and German stock markets are uncovered.
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
