Author(s)

Yizhuang Tian¹, Dongyang Shi², Handong Li^1*

¹School of Systems Science, Beijing Normal University, Beijing, China.
²School of Government, Beijing Normal University, Beijing, China.

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.e., 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.

Price Jump, Self-Motivated, Jump Intensity, Hurst Index, Long Memory

Tian, Y. , Shi, D. and Li, H. (2021) The Long Memory of the Jump Intensity of the Price Process. Journal of Mathematical Finance, 11, 176-189. doi: 10.4236/jmf.2021.112009.