Bin size independence in intra-day seasonalities for relative prices

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• 作者：Esteban Guevara Hidalgo ; ^{esteban_guevarah@hotmail.com}
• 关键词：Intra-day patterns ; High frequency time series ; Stylized facts
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：15 February 2017
• 年：2017
• 卷：468
• 期：Complete
• 页码：722-732
• 全文大小：3630 K
• 卷排序：468

文摘

Intra-day seasonalities of single and cross-sectional stock dynamics. Evolution of returns and relative prices moments. Bin size independence of the seasonalities for relative prices but not for returns. Patterns independent (but characteristic) of the index we consider. Possible way to define and characterize “anomalous behaviours” and “atypical days”.