Estimation of intraday stock market resiliency: Short-Time Fourier Transform approach

Joanna Olbrys and Michal Mursztyn

Physica A: Statistical Mechanics and its Applications, 2019, vol. 535, issue C

Abstract: In this study, a new methodology for intraday stock resiliency measurement based on the Short-Time Fourier Transform (STFT) for high-frequency data is introduced and utilized. The STFT is a Discrete Fourier Transform (DFT) variant that measures local signal changes over time. Resiliency is one of stock market liquidity dimensions and, as an estimate of price dynamism, is not constant over a given time period. The findings of empirical experiments for real-data from the Warsaw Stock Exchange confirm that the new proxy enables us to unveil and investigate intraday patterns of resiliency. We wish to emphasize both theoretical and practical aspects of market resiliency measurement.

Keywords: Econophysics; Stock market resiliency; Short-Time Fourier Transform; High-frequency data; Intraday resiliency patterns (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313901

DOI: 10.1016/j.physa.2019.122413

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