An empirical investigation of Australian Stock Exchange data

William K Bertram

Physica A: Statistical Mechanics and its Applications, 2004, vol. 341, issue C, 533-546

Abstract: We present an empirical study of high frequency Australian equity data examining the behaviour of distribution tails and the existence of long memory. A method is presented allowing us to deal with Australian Stock Exchange data by splitting it into two separate data series representing an intraday and overnight component. Power-law exponents for the empirical density functions are estimated and compared with results from other studies. Using the autocorrelation and variance plots we find there to be a strong indication of long-memory type behaviour in the absolute return, volume and transaction frequency.

Keywords: Econophysics; Power law tails; Long memory process (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:341:y:2004:i:c:p:533-546

DOI: 10.1016/j.physa.2004.04.132

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