Jung, W.-S.; Wang, F. Z.; Havlin, S.; Kaizoji, T.; … - In: The European Physical Journal B - Condensed Matter and … 62 (2008) 1, pp. 113-119
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold q for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on...