Empirical distributions of Chinese stock returns at different microscopic timescales

Gao-Feng Gu, Wei Chen and Wei-Xing Zhou

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 2, 495-502

Abstract: We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We find that the returns at the one-trade timescale obey the inverse cubic law. For larger timescales (2–32 trades and 1–5 min), the returns follow the Student distribution with power-law tails. With the decrease in timescale, the tail becomes fatter, which is consistent with the variational theory in Turbulence.

Keywords: Econophysics; Probability distribution; Chinese stocks; Ultra-high-frequency data; Order book and order flow; Inverse cubic law; Power-law tail (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (52)

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Working Paper: Empirical distributions of Chinese stock returns at different microscopic timescales (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:2:p:495-502

DOI: 10.1016/j.physa.2007.10.012

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