Bin size independence in intra-day seasonalities for relative prices

Esteban Guevara Hidalgo

Physica A: Statistical Mechanics and its Applications, 2017, vol. 468, issue C, 722-732

Abstract: In this paper we perform a statistical analysis over the returns and relative prices of the CAC 40 and the S&P 500 with the purpose of analysing the intra-day seasonalities of single and cross-sectional stock dynamics. In order to do that, we characterized the dynamics of a stock (or a set of stocks) by the evolution of the moments of its returns (and relative prices) during a typical day. We show that these intra-day seasonalities are independent of the size of the bin, and the index we consider, (but characteristic for each index) for the case of the relative prices but not for the case of the returns. Finally, we suggest how this bin size independence could be used in order to characterize “atypical days” for indexes and “anomalous behaviours” in stocks.

Keywords: Intra-day patterns; High frequency time series; Stylized facts (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:468:y:2017:i:c:p:722-732

DOI: 10.1016/j.physa.2016.11.128

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