Long-term Correlations and Rare Events in Futures Volatility
This dissertation analyse the statistics of rare events in the futures market. We focus on the futures absolute return volatilities that are long-term correlated and show the e�ect of long-term memory on the return intervals of extreme events. The heuristic study has been investigated by some eco...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2015
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| Online Access: | https://eprints.nottingham.ac.uk/30127/ |
| Summary: | This dissertation analyse the statistics of rare events in the futures market. We focus on
the futures absolute return volatilities that are long-term correlated and show the e�ect
of long-term memory on the return intervals of extreme events. The heuristic study has
been investigated by some econophysics methods. The results show that the return intervals
distribution contain scaling property and the scaling form is approach to a stretched expo-
nential function. The stretching exponent is identical to the long-term correlation exponent
�. The long-term correlation has also been found among return intervals and the long-term
correlated exponent is close to � as well. This paper (Cizeau et al. 1997) veri�ed results by
the futures volatility. |
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