%0 Journal Article
%T The Long Memory of the Jump Intensity of the Price Process
%A Yizhuang Tian
%A Dongyang Shi
%A Handong Li
%J Journal of Mathematical Finance
%P 176-189
%@ 2162-2442
%D 2021
%I Scientific Research Publishing
%R 10.4236/jmf.2021.112009
%X The impact of successive jumps in price process
on volatility is very important. We study the nature of self-motivation in
price process using data from China¡¯s stock market. Our empirical results
suggest that: 1) Price jumps in China¡¯s stock market are generally
self-motivated, <i>i.e.</i>, price jumps are clustering. 2) The jump intensity of
China¡¯s stock market is time-varying, and follows log-normal distribution,
which indicates that the jump intensity is asymmetrical. 3) The jump
intensities¡¯ sequence exhibits typical long memory.
%K Price Jump
%K Self-Motivated
%K Jump Intensity
%K Hurst Index
%K Long Memory
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=108218