Empirical distributions of Chinese stock returns at different microscopic timescales

Gao-Feng Gu, Wei Chen and Wei-Xing Zhou
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Gao-Feng Gu: ECUST
Wei Chen: SZSE

Papers from arXiv.org

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 minutes), the returns follow the Student distribution with power-law tails. With the decrease of timescale, the tail becomes fatter, which is consistent with the vibrational theory.

Date: 2007-08
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Citations: View citations in EconPapers (2)

Published in Physica A 387 (2-3), 495-502 (2008)

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Journal Article: Empirical distributions of Chinese stock returns at different microscopic timescales (2008)
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