摘要翻译：
本文研究了中国股票市场中两个指数和20只个股的连续1min收益率高于正阈值$q>0$或低于负阈值$q<0$之间重复间隔的概率分布。用Kolmogorov-Smirnov(KS)统计量、加权KS统计量和Cram\'er-von Mises准则检验了正负阈值的递推区间分布是对称的，并显示出幂律尾。在阳性和阴性阈值$q$的复发间隔中观察到长期和短期记忆效应。在概率w_q(\\delta{t},t)$的基础上，进一步将递推区间分析应用于中国股票市场的风险估计，在风险价值（Value-at-Risk,VaR）分析和前一个递推区间条件下的VaR分析。
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英文标题：
《Recurrence interval analysis of high-frequency financial returns and its
  application to risk estimation》
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作者：
Fei Ren, Wei-Xing Zhou
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最新提交年份：
2009
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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：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  We investigate the probability distributions of the recurrence intervals $\tau$ between consecutive 1-min returns above a positive threshold $q>0$ or below a negative threshold $q<0$ of two indices and 20 individual stocks in China's stock market. The distributions of recurrence intervals for positive and negative thresholds are symmetric, and display power-law tails tested by three goodness-of-fit measures including the Kolmogorov-Smirnov (KS) statistic, the weighted KS statistic and the Cram\'er-von Mises criterion. Both long-term and shot-term memory effects are observed in the recurrence intervals for positive and negative thresholds $q$. We further apply the recurrence interval analysis to the risk estimation for the Chinese stock markets based on the probability $W_q(\Delta{t},t)$, Value-at-Risk (VaR) analysis and VaR analysis conditioned on preceding recurrence intervals.
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PDF链接：
https://arxiv.org/pdf/0909.0123