摘要翻译：
我们研究了美国联邦公开市场委员会(FOMC)会议之前和之后的美国市场行为，并表明美国联邦储备委员会（Federal Open Market Committee）宣布利率变化会导致金融冲击，其中宣布利率变化后的动态可用大森地震定律的模拟描述。我们将利率变化后的余震率n(t)定量化，并发现幂律衰减，其尺度为n(t-T)(t-T)^-$\omega$,其中$\omega$为正。令人惊讶的是，我们发现同样的规律描述了在t时刻利率变化之前的“预冲击”的速率n′(t-T)。这是第一个定量地将市场反应的大小与引起冲击的消息联系起来的研究，并揭示了可量化的预冲击的存在。我们证明了与利率变动相关的消息是引起利率变动前的预期和利率变动后的惊喜的原因。我们用美国国库券和联邦基金有效利率之间的相对差来估计金融新闻的幅度。我们的结果符合“符号效应”，即“坏消息”比“好消息”有更大的影响。此外，我们观察到显著的波动余震，证实了至少持续1个交易日的“市场反应不足”。
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英文标题：
《Quantitative law describing market dynamics before and after
  interest-rate change》
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作者：
Alexander M. Petersen, Fengzhong Wang, Shlomo Havlin, H. Eugene
  Stanley
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最新提交年份：
2010
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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：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Physics        物理学
二级分类：Geophysics        地球物理学
分类描述：Atmospheric physics. Biogeosciences. Computational geophysics. Geographic location. Geoinformatics. Geophysical techniques. Hydrospheric geophysics. Magnetospheric physics. Mathematical geophysics. Planetology. Solar system. Solid earth geophysics. Space plasma physics. Mineral physics. High pressure physics.
大气物理学。生物地质学。计算地球物理学。地理位置。地理信息学。地球物理技术。水层地球物理学。磁层物理学。数学地球物理学。行星学。太阳系。固体地球地球物理学。空间等离子体物理。矿物物理学。高压物理。
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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：
  We study the behavior of U.S. markets both before and after U.S. Federal Open Market Committee (FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analogue of the Omori earthquake law. We quantify the rate n(t) of aftershocks following an interest rate change at time T, and find power-law decay which scales as n(t-T) (t-T)^-$\Omega$, with $\Omega$ positive. Surprisingly, we find that the same law describes the rate n'(|t-T|) of "pre-shocks" before the interest rate change at time T. This is the first study to quantitatively relate the size of the market response to the news which caused the shock and to uncover the presence of quantifiable preshocks. We demonstrate that the news associated with interest rate change is responsible for causing both the anticipation before the announcement and the surprise after the announcement. We estimate the magnitude of financial news using the relative difference between the U. S. Treasury Bill and the Federal Funds Effective rate. Our results are consistent with the "sign effect," in which "bad news" has a larger impact than "good news." Furthermore, we observe significant volatility aftershocks, confirming a "market underreaction" that lasts at least 1 trading day.
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PDF链接：
https://arxiv.org/pdf/0903.0010