Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index

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• 作者：Guo-Hua Mu ; Wei-Xing Zhou
• 关键词：Econophysics ; Chinese stock market ; Power-law relaxation ; Omori law ; Volatility dynamics
• 刊名：Physica A
• 出版年：2008
• 出版时间：1 September 2008
• 年：2008
• 卷：387
• 期：21
• 页码：5211-5218
• 全文大小：562 K

文摘

The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks based on large volatilities rather than large crashes. We find that the occurrence rate of aftershocks with the magnitude exceeding a given threshold for both daily volatility (constructed using 1-minute data) and minutely volatility (using intra-minute data) decays as a power law. The power-law relaxation exponent increases with the volatility threshold and is significantly greater than 1. Taking financial volatility as the counterpart of seismic activity, the power-law relaxation in financial volatility deviates remarkably from the Omori law in Geophysics.