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	1. Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index
	Guo-Hua Mu,Wei-Xing Zhou
	Economics 17 September 2007
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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 olatility deviates remarkably from the Omori law in Geophysics.
	TO cite this article:Guo-Hua Mu,Wei-Xing Zhou. Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index[OL].[17 September 2007] http://en.paper.edu.cn/en_releasepaper/content/15122


	2. Empirical distributions of Chinese stock returns at different microscopic timescales
	Gao-Feng Gu,Wei Chen,Wei-Xing Zhou
	Economics 28 August 2007
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	Abstract:We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We find that the returns at the one-trade timescale obey the inverse cubic law. For larger timescales (2-32 trades and 1-5 minutes), the returns follow the Student distribution with power-law tails. With the decrease of timescale, the tail becomes fatter, which is consistent with the vibrational theory.
	TO cite this article:Gao-Feng Gu,Wei Chen,Wei-Xing Zhou. Empirical distributions of Chinese stock returns at different microscopic timescales[OL].[28 August 2007] http://en.paper.edu.cn/en_releasepaper/content/14737

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