Journal
FLUCTUATION AND NOISE LETTERS
Volume 9, Issue 2, Pages 203-217Publisher
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0219477510000162
Keywords
Extreme event; return interval; power law; stretched exponential; detrended cross-correlation analysis; joint cumulative distribution
Funding
- National High Technology Research Development Program of China (863 Program) [2007AA11Z212]
- China National Science [60772036]
- SRFDPHEC [20070004002]
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This paper reports the statistics of extreme values and positions of extreme events in Chinese stock markets. An extreme event is defined as the event exceeding a certain threshold of normalized logarithmic return. Extreme values follow a piecewise function or a power law distribution determined by the threshold due to a crossover. Extreme positions are studied by return intervals of extreme events, and it is found that return intervals yield a stretched exponential function. According to correlation analysis, extreme values and return intervals are weakly correlated and the correlation decreases with increasing threshold. No long-term cross-correlation exists by using the detrended cross-correlation analysis (DCCA) method. We successfully introduce a modification specific to the correlation and derive the joint cumulative distribution of extreme values and return intervals at 95% confidence level.
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