Bin size independence in intra-day seasonalities for relative prices
نویسندگان
چکیده
منابع مشابه
Individual and Collective Stock Dynamics: Intra-day Seasonalities
We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day, leading to a smaller relative dispersion between stocks. Somewhat paradoxically, the kurtosis (a measure of volatility surprises) reaches a minimum at the open...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2017
ISSN: 0378-4371
DOI: 10.1016/j.physa.2016.11.128