Empirical distributions of Chinese stock returns at different microscopic timescales

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dc.creatorGu, Gao-Feng
dc.creatorChen, Wei
dc.creatorZhou, Wei-Xing
dc.date2007-08-26
dc.date.accessioned2026-07-07T12:05:22Z
dc.date.available2026-07-07T12:05:22Z
dc.descriptionWe 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.
dc.description14 Elsart page including 2 tables and 3 figures
dc.identifierhttps://arxiv.org/abs/0708.3472
dc.identifierhttp://arxiv.org/abs/0708.3472
dc.identifierPhysica A 387 (2-3), 495-502 (2008)
dc.identifierdoi:10.1016/j.physa.2007.10.012
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208359
dc.subjectStatistical Finance
dc.subjectPhysics and Society
dc.titleEmpirical distributions of Chinese stock returns at different microscopic timescales
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