Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets

DOI10.1080/14697688.2016.1175656zbMath1400.91664arXiv1508.07505OpenAlexW3102705099WikidataQ57194338 ScholiaQ57194338MaRDI QIDQ4554238

Askery Canabarro, Zhi-Qiang Jiang, Wei-Xing Zhou, Boris Podobnik, H. Eugene Stanley

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.07505

zbMATH Keywords

distributionrisk estimationrecurrence intervalextreme volatilityhazard probabilitylarge volatility forecasting

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

Short term prediction of extreme returns based on the recurrence interval analysis ⋮ Scaling invariance embedded in very short time series: a factorial moment based diffusion entropy approach

Uses Software

• plfit

Cites Work

• Volatility return intervals analysis of the Japanese market
• Statistical regularities in the return intervals of volatility
• Intermittent chaos in a model of financial markets with heterogeneous agents
• Cross-correlations between volume change and price change
• On the Occurence of Extreme Events in Long-term Correlated and Multifractal Data Sets
• Power-Law Distributions in Empirical Data
• Anomalous waiting times in high-frequency financial data

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