Long-term Correlations and Rare Events in Futures Volatility

Gong, Bosichan (2015) Long-term Correlations and Rare Events in Futures Volatility. [Dissertation (University of Nottingham only)]

[img] PDF - Registered users only - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Download (4MB)


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.

Item Type: Dissertation (University of Nottingham only)
Depositing User: Gong, Bosichan
Date Deposited: 23 Mar 2016 14:27
Last Modified: 02 Feb 2018 11:06
URI: https://eprints.nottingham.ac.uk/id/eprint/30127

Actions (Archive Staff Only)

Edit View Edit View