Time-clustering behavior of sharp fluctuation sequences in Chinese stock markets

Sharp fluctuations (in particular, extreme fluctuations) of asset prices have a great impact on financial markets and risk management. Therefore, investigating the time dynamics of sharp fluctuation is a challenge in the financial fields. Using two different representations of the sharp fluctuations (inter-event times and series of counts), the time clustering behavior in the sharp fluctuation sequences of stock markets in China is studied with several statistical tools, including coefficient of variation, Allan Factor, Fano Factor as well as R/S (rescaled range) analysis. All of the empirical results indicate that the time dynamics of the sharp fluctuation sequences can be considered as a fractal process with a high degree of time-clusterization of the events. It can help us to get a better understanding of the nature and dynamics of sharp fluctuation of stock price in stock markets.