Temporal Structure of Volatility Fluctuations

摘要: Volatility fluctuations are of great importance for the study financial markets, and temporal structure is an essential feature fluctuations. To explore structure, we employ a new approach based on return interval, which defined as time interval between two successive volatility values that above given threshold. We find distribution intervals follows scaling law over wide range thresholds, broad sampling intervals. Moreover, this universal stocks different countries, commodities, interest rates, currencies. However, further more detailed analysis shows some systematic deviations from law. also demonstrate significant memory effect in organization. strongly related to correlations volatility.