23,139 research outputs found
Empirical distributions of Chinese stock returns at different microscopic timescales
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.Comment: 14 Elsart page including 2 tables and 3 figure
How volatilities nonlocal in time affect the price dynamics in complex financial systems
What is the dominating mechanism of the price dynamics in financial systems
is of great interest to scientists. The problem whether and how volatilities
affect the price movement draws much attention. Although many efforts have been
made, it remains challenging. Physicists usually apply the concepts and methods
in statistical physics, such as temporal correlation functions, to study
financial dynamics. However, the usual volatility-return correlation function,
which is local in time, typically fluctuates around zero. Here we construct
dynamic observables nonlocal in time to explore the volatility-return
correlation, based on the empirical data of hundreds of individual stocks and
25 stock market indices in different countries. Strikingly, the correlation is
discovered to be non-zero, with an amplitude of a few percent and a duration of
over two weeks. This result provides compelling evidence that past volatilities
nonlocal in time affect future returns. Further, we introduce an agent-based
model with a novel mechanism, that is, the asymmetric trading preference in
volatile and stable markets, to understand the microscopic origin of the
volatility-return correlation nonlocal in time.Comment: 16 pages, 7 figure
The History of the Quantitative Methods in Finance Conference Series. 1992-2007
This report charts the history of the Quantitative Methods in Finance (QMF) conference from its beginning in 1993 to the 15th conference in 2007. It lists alphabetically the 1037 speakers who presented at all 15 conferences and the titles of their papers.
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market
We propose a new joint model of intraday returns and durations to study the dynamics of several Chinese stocks. We include IBM from the U.S. market for comparison purposes. Flexible innovation distributions are used for durations and returns, and the total variance of returns is decomposed into different volatility components associated with different transaction horizons. Our new model strongly dominates existing specifications in the literature. The conditional hazard functions are non-monotonic and there is strong evidence for different volatility components. Although diurnal patterns, volatility components, and market microstructure implications are similar across the markets, there are interesting differences. Durations for lightly traded Chinese stocks tend to carry more information than heavily traded stocks. Chinese investors usually have longer investment horizons, which may be explained by the specific trading rules in China.market microstructure, transaction horizon, high-frequency data, ACD, GARCH
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