Empirical distributions of Chinese stock returns at different microscopic timescales

Gao-Feng Gu; Wei Chen; Wei-Xing Zhou

doi:10.1016/j.physa.2007.10.012

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arXiv · 0708.3472

Empirical distributions of Chinese stock returns at different microscopic timescales

Gao-Feng Gu·Wei Chen·Wei-Xing Zhou

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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.

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Gao-Feng Gu, Wei Chen, Wei-Xing Zhou. 2007-08-26. Empirical distributions of Chinese stock returns at different microscopic timescales. https://doi.org/10.1016/j.physa.2007.10.012

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