The European Physical Journal B

, Volume 62, Issue 1, pp 113–119 | Cite as

Volatility return intervals analysis of the Japanese market

  • W.-S. Jung
  • F. Z. Wang
  • S. Havlin
  • T. Kaizoji
  • H.-T. Moon
  • H. E. Stanley
Interdisciplinary Physics

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 τ and its mean 〈τ〉. 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.

PACS.

89.65.Gh Economics; econophysics, financial markets, business and management 89.75.Da Systems obeying scaling laws 05.45.Tp Time series analysis 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. R.N. Mantegna, H.E. Stanley, An Introduction to Econophysics: Correlations and Complexity in Finance (Cambridge University Press, Cambridge, 2000) Google Scholar
  2. R.N. Mantegna, H.E. Stanley, Nature 376, 46 (1995) CrossRefADSGoogle Scholar
  3. N.F. Johnson, P. Jefferies, P.M. Hui, Financial Market Complexity (Oxford University Press, Oxford, 2003) Google Scholar
  4. E. Scalas, R. Gorenflo, F. Mainardi, Physica A 314, 749 (2002) MATHCrossRefADSGoogle Scholar
  5. H. Takayasu, A.H. Sato, M. Takayasu, Phys. Rev. Lett. 79, 966 (1997) MATHCrossRefADSGoogle Scholar
  6. C. Tsallis, C. Anteneodo, L. Borland, R. Osorio, Physica A 324, 89 (2003) MATHCrossRefADSMathSciNetGoogle Scholar
  7. F. Lillo, R.N. Mantegna, Phys. Rev. E 62, 6126 (2000) CrossRefADSGoogle Scholar
  8. T. Di Matteo, Quantitative Finance 7, 21 (2007) MATHCrossRefMathSciNetGoogle Scholar
  9. B.B. Mandelbrot, J. Business 36, 394 (1963) CrossRefGoogle Scholar
  10. A. Pagan, J. Empirical Finance 3, 15 (1996) CrossRefGoogle Scholar
  11. P. Gopikrishnan, V. Plerou, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 5305 (1999) CrossRefADSGoogle Scholar
  12. Y. Liu, P. Gopikrishnan, P. Cizeau, M. Meyer, C.-K. Peng, H.E. Stanley, Phys. Rev. E 60, 1390 (1999) CrossRefADSGoogle Scholar
  13. X. Gabaix, P. Gopikrishnan, V. Plerou, H.E. Stanley, Nature 423, 267 (2003) CrossRefADSGoogle Scholar
  14. Z. Ding, C.W.J. Granger, R.F. Engle, J. Empirical Finance 1, 83 (1993) CrossRefGoogle Scholar
  15. J.K. Ord, T.H. McInish, R.A. Wood, J. Finance 40, 723 (1985) CrossRefGoogle Scholar
  16. L. Harris, J. Financ. Econ. 16, 99 (1986) CrossRefGoogle Scholar
  17. G.W. Schwert, J. Finance 44, 1115 (1989) CrossRefGoogle Scholar
  18. C.W.J. Granger, Z. Ding, J. Econometrics 73, 61 (1996) MATHCrossRefMathSciNetGoogle Scholar
  19. V. Plerou, P. Gopikrishnan, X. Gabaix, L.A. Nunes Amaral, H.E. Stanley, Quant. Finance 1, 262 (2001) CrossRefMathSciNetGoogle Scholar
  20. V. Plerou, P. Gopikrishnan, H.E. Stanley, Phys. Rev. E 71, 046131 (2005) CrossRefADSGoogle Scholar
  21. J.-P. Bouchard, M. Potters, Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management (Cambridge University Press, Cambridge, 2003) Google Scholar
  22. F. Black, M. Scholes, J. Polit. Econ. 81, 637 (1973) CrossRefGoogle Scholar
  23. R.F. Engle, Econometrica 50, 987 (1982) MATHCrossRefMathSciNetGoogle Scholar
  24. J.C. Cox, S.A. Ross, J. Finance Econ. 3, 145 (1976) CrossRefGoogle Scholar
  25. J.Y. Campbell, A.W. Lo, A.C. MacKinlay, The Econometrics of Financial Markets (Princeton University Press, Princeton, 1997) Google Scholar
  26. K. Yamasaki, L. Muchnik, S. Havlin, A. Bunde, H.E. Stanley, Proc. Natl. Acad. Sci. USA 102, 9424 (2005) CrossRefADSGoogle Scholar
  27. F. Wang, K. Yamasaki, S. Havlin, H.E. Stanley, Phys. Rev. E 73, 026117 (2006); F. Wang, P. Weber, K. Yamasaki, S. Havlin, H.E. Stanley, Eur. Phys. J. B 55, 123 (2007); F. Wang, K. Yamasaki, S. Havlin, H.E. Stanley, (2007) CrossRefADSGoogle Scholar
  28. P. Weber, F. Wang, I. Vodenska-Chitkushev, S. Havlin, H.E. Stanley, Phys. Rev. E 76, 016109 (2007) CrossRefADSGoogle Scholar
  29. T. Kaizoji, Physica A 343, 662 (2004) ADSGoogle Scholar
  30. T. Kaizoji, M. Kaizoji, Physica A 336, 563 (2004) CrossRefADSGoogle Scholar
  31. M.A. Stephens, J. Am. Stat. Assoc. 69, 730 (1974) CrossRefGoogle Scholar
  32. R. Engle, J. Russel, Econometrica 66, 1127 (1998) MATHCrossRefMathSciNetGoogle Scholar
  33. E. Scalas, T. Kaizoji, M. Kirchler, J. Huberd, A. Tedeschi, Physica A 366, 463 (2006) CrossRefADSGoogle Scholar
  34. N. Sazuka, Physica A 376, 500 (2007) CrossRefADSGoogle Scholar
  35. A. Bunde, J.F. Eichner, J.W. Kantelhardt, S. Havlin, Phys. Rev. Lett. 94, 048701 (2005) CrossRefADSGoogle Scholar
  36. M.M. Dacorogna, R. Gencay, U.A. Muller, R.B. Olsen, O.V. Pictet, An Introduction to High Frequency Finance (Academic Press, London, 2001) Google Scholar
  37. A. Corral, Phys. Rev. Lett. 92, 108501 (2004) CrossRefADSGoogle Scholar
  38. A. Bunde, J.F. Eichner, S. Havlin, J.W. Kantelhardt, Physica A 342, 308 (2004) CrossRefADSGoogle Scholar
  39. A. Bunde, J.F. Eichner, J.W. Kantelhardt, S. Havlin, Phys. Rev. Lett. 94, 048701 (2005) CrossRefADSGoogle Scholar
  40. V.N. Livina, S. Havlin, A. Bunde, Phys. Rev. Lett. 95, 208501 (2005) CrossRefADSGoogle Scholar

Copyright information

© EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2008

Authors and Affiliations

  • W.-S. Jung
    • 1
    • 2
  • F. Z. Wang
    • 1
  • S. Havlin
    • 1
    • 3
  • T. Kaizoji
    • 4
  • H.-T. Moon
    • 2
  • H. E. Stanley
    • 1
  1. 1.Center for Polymer Studies and Department of PhysicsBoston UniversityBostonUSA
  2. 2.Center for Complex Systems and Department of PhysicsKorea Advanced Institute of Science and TechnologyDaejeonRepublic of Korea
  3. 3.Minerva Center and Department of PhysicsBar-Ilan UniversityRamat-GanIsrael
  4. 4.Division of Social SciencesInternational Christian UniversityTokyoJapan

Personalised recommendations