Recurrence intervals analysis of csi 300 future based on high frequency data

Based on 1-minute high frequency close prices of CSI300 future, the statistical properties of volatility and trading volume recurrence intervals exceeding different thresholds are studied in this paper The result shows that the probability density curves of two recurrence intervals exhibit scaling features. A Weibull function can be used to fit the tail in two distribution curves of scaled recurrence intervals. The memory with short and long term is verified in two recurrence intervals by conditional probability density and detrended fluctuation analysis (DFA), which indicate that the recurrence intervals can be predicted. Using the multifractal detrended fluctuation analysis (MFDFA), we discover that two recurrence intervals possess multifractality. In addition ,the relationship between volatility and trading volume recurrence intervals is analyzed.It is shown that the appearance of large volatility and large volume is synchronous. Finally, we discuss the application of recurrence intervals.