{"paper":{"title":"Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.RM"],"primary_cat":"q-fin.ST","authors_text":"Askery A. Canabarro (UFAL, Boris Podobnik (UR), BU), H. Eugene Stanley (BU), Wei-Xing Zhou (ECUST), Zhi-Qiang Jiang (ECUST","submitted_at":"2015-08-29T21:16:53Z","abstract_excerpt":"Being able to forcast extreme volatility is a central issue in financial risk management. We present a large volatility predicting method based on the distribution of recurrence intervals between volatilities exceeding a certain threshold $Q$ for a fixed expected recurrence time $\\tau_Q$. We find that the recurrence intervals are well approximated by the $q$-exponential distribution for all stocks and all $\\tau_Q$ values. Thus a analytical formula for determining the hazard probability $W(\\Delta t |t)$ that a volatility above $Q$ will occur within a short interval $\\Delta t$ if the last volati"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1508.07505","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}