摘要翻译：
利用上证综合指数(SSEC)的两个高频数据集，研究了大波动冲击后余震的松弛动力学。与以往的相关工作相比，我们将主要的金融冲击定义为大的波动，而不是大的崩溃。我们发现，对于日波动率（用1分钟数据构造）和分钟波动率（用分钟内数据构造），超过给定阈值的余震发生率都以幂律衰减。幂律松弛指数随波动阈值的增大而增大，且显著大于1。将金融波动作为地震活动的对应物，金融波动中的幂律松弛与地球物理中的Omori定律明显偏离。
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英文标题：
《Relaxation dynamics of aftershocks after large volatility shocks in the
  SSEC index》
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作者：
Guo-Hua Mu, Wei-Xing Zhou (ECUST)
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks based on large volatilities rather than large crashes. We find that the occurrence rate of aftershocks with the magnitude exceeding a given threshold for both daily volatility (constructed using 1-minute data) and minutely volatility (using intra-minute data) decays as a power law. The power-law relaxation exponent increases with the volatility threshold and is significantly greater than 1. Taking financial volatility as the counterpart of seismic activity, the power-law relaxation in financial volatility deviates remarkably from the Omori law in Geophysics.
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PDF链接：
https://arxiv.org/pdf/0709.1219