Published in

Elsevier, Physica A: Statistical Mechanics and its Applications, 21(387), p. 5211-5218, 2008

DOI: 10.1016/j.physa.2008.05.019

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Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index

Journal article published in 2008 by Guo-Hua Mu, Wei-Xing Zhou ORCID
This paper is available in a repository.
This paper is available in a repository.

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Abstract

The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks based on large volatilities rather than large crashes. We find that the occurrence rate of aftershocks with the magnitude exceeding a given threshold for both daily volatility (constructed using 1-minute data) and minutely volatility (using intra-minute data) decays as a power law. The power-law relaxation exponent increases with the volatility threshold and is significantly greater than 1. Taking financial volatility as the counterpart of seismic activity, the power-law relaxation in financial volatility deviates remarkably from the Omori law in Geophysics.