摘要翻译：
我们研究了219次市场震荡前后的级联动态。我们将市场震荡的时间T_{c}定义为市场波动率V(T_{c}）具有超过预定阈值的峰值的时间。由“主震”引发的高波动性“余震”的级联在数量上类似于地震和太阳耀斑，它们已经用三个经验定律--大森定律、生产力定律和巴斯定律--来描述。我们分析了2001-2002年两年期间美国市场交易最多的531只股票。在分析的219次“波动性地震”中，每一次的“主震”震级M\equiv\log V(T_{c}）在T_{c}时发生，与定量描述波动性余震和波动性预震衰减的参数之间存在定量关系。我们还发现，交易活跃度较大的股票比交易活跃度较小的股票对市场冲击的反应更强烈、更迅速。我们的研究结果描述了在市场和个股规模上的典型波动性反应。我们认为这三种统计数量关系在期权定价和波动率交易中的应用具有潜在的效用。
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英文标题：
《Market dynamics immediately before and after financial shocks:
  quantifying the Omori, productivity and Bath laws》
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作者：
Alexander M. Petersen, Fengzhong Wang, Shlomo Havlin and 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：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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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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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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英文摘要：
  We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a peak that exceeds a predetermined threshold. The cascade of high volatility "aftershocks" triggered by the "main shock" is quantitatively similar to earthquakes and solar flares, which have been described by three empirical laws --- the Omori law, the productivity law, and the Bath law. We analyze the most traded 531 stocks in U.S. markets during the two-year period 2001-2002 at the 1-minute time resolution. We find quantitative relations between (i) the "main shock" magnitude M \equiv \log V(T_{c}) occurring at the time T_{c} of each of the 219 "volatility quakes" analyzed, and (ii) the parameters quantifying the decay of volatility aftershocks as well as the volatility preshocks. We also find that stocks with larger trading activity react more strongly and more quickly to market shocks than stocks with smaller trading activity. Our findings characterize the typical volatility response conditional on M, both at the market and the individual stock scale. We argue that there is potential utility in these three statistical quantitative relations with applications in option pricing and volatility trading.
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PDF链接：
https://arxiv.org/pdf/1006.1882