Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Recurrence interval analysis of high-frequency financial returns and its
  application to risk estimation   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.

12
The categories of this paper are: nucl-th
26
The categories of this paper are: bayes-an
16
The categories of this paper are: stat
23
The categories of this paper are: solv-int
34
The categories of this paper are: chem-ph
33
The categories of this paper are: plasm-ph
37
The categories of this paper are: supr-con
1
The categories of this paper are: cs
6
The categories of this paper are: astro-ph
28
The categories of this paper are: alg-geom
0
The categories of this paper are: hep-ph
14
The categories of this paper are: math-ph
25
The categories of this paper are: patt-sol
19
The categories of this paper are: eess
4
The categories of this paper are: cond-mat
31
The categories of this paper are: ao-sci