Multifactor Analysis of Multiscaling in Volatility Return Intervals
| dc.creator | Wang, Fengzhong | |
| dc.creator | Yamasaki, Kazuko | |
| dc.creator | Havlin, Shlomo | |
| dc.creator | Stanley, H. Eugene | |
| dc.date | 2008-08-23 | |
| dc.date.accessioned | 2026-07-07T12:48:51Z | |
| dc.date.available | 2026-07-07T12:48:51Z | |
| dc.description | We study the volatility time series of 1137 most traded stocks in the US stock markets for the two-year period 2001-02 and analyze their return intervals $τ$, which are time intervals between volatilities above a given threshold $q$. We explore the probability density function of $τ$, $P_q(τ)$, assuming a stretched exponential function, $P_q(τ) \sim e^{-τ^γ}$. We find that the exponent $γ$ depends on the threshold in the range between $q=1$ and 6 standard deviations of the volatility. This finding supports the multiscaling nature of the return interval distribution. To better understand the multiscaling origin, we study how $γ$ depends on four essential factors, capitalization, risk, number of trades and return. We show that $γ$ depends on the capitalization, risk and return but almost does not depend on the number of trades. This suggests that $γ$ relates to the portfolio selection but not on the market activity. To further characterize the multiscaling of individual stocks, we fit the moments of $τ$, $μ_m \equiv <(τ/<τ>)^m>^{1/m}$, in the range of $10 < <τ> \le 100$ by a power-law, $μ_m \sim <τ>^δ$. The exponent $δ$ is found also to depend on the capitalization, risk and return but not on the number of trades, and its tendency is opposite to that of $γ$. Moreover, we show that $δ$ decreases with $γ$ approximately by a linear relation. The return intervals demonstrate the temporal structure of volatilities and our findings suggest that their multiscaling features may be helpful for portfolio optimization. | |
| dc.description | 16 pages, 6 figures | |
| dc.identifier | https://arxiv.org/abs/0808.3200 | |
| dc.identifier | http://arxiv.org/abs/0808.3200 | |
| dc.identifier | Phys. Rev. E 79, 016103 (2009) | |
| dc.identifier | doi:10.1103/PhysRevE.79.016103 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/222201 | |
| dc.subject | Statistical Finance | |
| dc.subject | Physics and Society | |
| dc.title | Multifactor Analysis of Multiscaling in Volatility Return Intervals | |
| dc.type | text |