Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact
A. Christian Silva,
Richard E. Prange and
Victor Yakovenko ()
Papers from arXiv.org
We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times the bulk of the distribution (more than 99% of the probability) follows an exponential law. The slope of the exponential function is determined by the variance of returns, which increases proportionally to the time lag. At longer times, the exponential law continuously evolves into Gaussian distribution. The exponential-to-Gaussian crossover is well described by the analytical solution of the Heston model with stochastic volatility.
Date: 2004-01, Revised 2004-07
References: Add references at CitEc
Citations View citations in EconPapers (33) Track citations by RSS feed
Published in Physica A 344, 227-235 (2004)
Downloads: (external link)
http://arxiv.org/pdf/cond-mat/0401225 Latest version (application/pdf)
Journal Article: Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0401225
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().