Empirical distributions of Chinese stock returns at different microscopic timescales

Details Empirical distributions of Chinese stock returns at different microscopic timescales Empirical distributions of Chinese stock returns at different microscopic timescales

2007-08-26

arxiv.org/abs/0708.3472v1

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

Economy

Quantitative Finance

Statistical Finance

14 Elsart page including 2 tables and 3 figures

Scientific paper

10.1016/j.physa.2007.10.012

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.

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