Statistical analysis of high frequency data from the Athens stock exchange

Terence C. Mills

Physica A: Statistical Mechanics and its Applications, 2001, vol. 293, issue 3, 566-572

Abstract: This paper investigates the statistical behaviour of high-frequency index data from the Athens Stock Exchange. We find that 1min observations on the General Index of the Main Market for the three month period from 1 June 1998 to 10 September 1998 are characterised by very short run persistence and scaling with a break point of 1h, so that the persistence reflects intra-hour correlation. 1min returns are highly leptokurtic, but multi-period returns recover Gaussianity after 8–9 days. Volatility also scales, but with a cross-over point of 1 day, with long-run correlations being particularly important.

Keywords: Econophysics; Statistical finance; Persistence; Multi-scaling; Volatility (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:293:y:2001:i:3:p:566-572

DOI: 10.1016/S0378-4371(01)00116-9

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