Probability of Large Movements in Financial Markets
arXiv:0812.4455 · doi:10.1016/j.physa.2009.07.027
Abstract
Based on empirical financial time-series, we show that the "silence-breaking" probability follows a super-universal power law: the probability of observing a large movement is inversely proportional to the length of the on-going low-variability period. Such a scaling law has been previously predicted theoretically [R. Kitt, J. Kalda, Physica A 353 (2005) 480], assuming that the length-distribution of the low-variability periods follows a multiscaling power law.
arXiv comment8 pages, 5 figures
References in corpus (7)
- Scaling and memory of intraday volatility return intervals in stock market
- Size effects on the quenching to the normal state in YBa2Cu3O7-delta thin film superconductors
- Are volatility correlations in financial markets related to Omori processes occurring on all scales?
- Indication of multiscaling in the volatility return intervals of stock markets
- Volatility return intervals analysis of the Japanese market
- Scaling analysis of multivariate intermittent time series
- Properties of low variability periods in financial time series