Intra-day variability of the stock market activity versus stationarity of the financial time series

T. Gubiec and M. Wiliński

Physica A: Statistical Mechanics and its Applications, 2015, vol. 432, issue C, 216-221

Abstract: In this paper we propose a new approach to a well-known phenomena of intra-day activity pattern on the stock market. We suggest that seasonality of inter-transaction times has a more significant impact than intra-day pattern of volatility. Our aim is not to remove the intra-day pattern from the data but to describe its impact on autocorrelation function estimators. We obtain an exact, analytical formula relating estimators of the autocorrelation functions of non-stationary (seasonal) process to its stationary counterpart. Hence, we prove that the day seasonality of inter-transaction times extends the memory of the process. That is, autocorrelation of both, price returns and their absolute values, relaxation to zero is longer.

Keywords: Intraday pattern; Non-stationary time series; Autocorrelation function (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:432:y:2015:i:c:p:216-221

DOI: 10.1016/j.physa.2015.03.033

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