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# Large-volatility dynamics in financial markets

Listed:
• X. F. Jiang
• B. Zheng
• J. Shen

## Abstract

We investigate the large-volatility dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a power law, and the exponents $p_\pm$ usually vary with the strength of the large volatilities. The large-volatility dynamics is time-reversal symmetric at the time scale in minutes, while asymmetric at the daily time scale. Careful analysis reveals that the time-reversal asymmetry is mainly induced by exogenous events. It is also the exogenous events which drive the financial dynamics to a non-stationary state. Different characteristics of the Chinese and German stock markets are uncovered.

## Suggested Citation

• X. F. Jiang & B. Zheng & J. Shen, 2010. "Large-volatility dynamics in financial markets," Papers 1002.3747, arXiv.org, revised Mar 2011.
• Handle: RePEc:arx:papers:1002.3747
as

File URL: http://arxiv.org/pdf/1002.3747

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