{"title":"香港股票市场的回报间隔分析","authors":"Hong Zhang, Nianpeng Wang, Keqiang Dong","doi":"10.1109/CINC.2009.108","DOIUrl":null,"url":null,"abstract":"In this paper, we analyze the Hang Seng Index data for the 22-year period, from December 31, 1986, to June 6,2008 in the Hongkong stock market, a total of 5315 trading days. Using rescaled range method, we study how the threshold value q affects the correlations of the return intervals s r(τ ) between events above a certain threshold q. We find that: i) both return intervals obtained by different threshold q and the original series are arranged in long-range dependence behavior; ii) the correlations of the return intervals grow stronger when the threshold q is larger.","PeriodicalId":173506,"journal":{"name":"2009 International Conference on Computational Intelligence and Natural Computing","volume":"18 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2009-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Return Intervals Analysis of the Hong Kong Stock Market\",\"authors\":\"Hong Zhang, Nianpeng Wang, Keqiang Dong\",\"doi\":\"10.1109/CINC.2009.108\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we analyze the Hang Seng Index data for the 22-year period, from December 31, 1986, to June 6,2008 in the Hongkong stock market, a total of 5315 trading days. Using rescaled range method, we study how the threshold value q affects the correlations of the return intervals s r(τ ) between events above a certain threshold q. We find that: i) both return intervals obtained by different threshold q and the original series are arranged in long-range dependence behavior; ii) the correlations of the return intervals grow stronger when the threshold q is larger.\",\"PeriodicalId\":173506,\"journal\":{\"name\":\"2009 International Conference on Computational Intelligence and Natural Computing\",\"volume\":\"18 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2009-06-06\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2009 International Conference on Computational Intelligence and Natural Computing\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/CINC.2009.108\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2009 International Conference on Computational Intelligence and Natural Computing","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CINC.2009.108","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Return Intervals Analysis of the Hong Kong Stock Market
In this paper, we analyze the Hang Seng Index data for the 22-year period, from December 31, 1986, to June 6,2008 in the Hongkong stock market, a total of 5315 trading days. Using rescaled range method, we study how the threshold value q affects the correlations of the return intervals s r(τ ) between events above a certain threshold q. We find that: i) both return intervals obtained by different threshold q and the original series are arranged in long-range dependence behavior; ii) the correlations of the return intervals grow stronger when the threshold q is larger.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
