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Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index
Guo-Hua Mu,Wei-Xing Zhou * #
School of Business, East China University of Science and Technology
*Correspondence author
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Funding: 自然科学基金,霍英东基金,上海市青年科技启明星计划（No.70501011,101086,06QA14015）
Opened online:17 September 2007
Accepted by: none
Citation: 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
 
 
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.
Keywords:Econophysics; SSEC; volatility; High-frequency data; Power-law relaxation
 
 
 

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