Empirical distributions of Chinese stock returns at different microscopic timescales

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.

Empirical shape function of limit-order books in the Chinese stock market

“…Our data contain ultra-high-frequency data of 23 liquid stocks listed on the Shenzhen Stock Exchange in 2003 [12]. We find that the results for different stocks are qualitatively similar.…”

Power law and multiscaling properties of the Chinese stock market

“…In some cases, the power law is also manifest in the trading volumes and volatilities. Furthermore, student t and stretched exponential distributions are proved to be well modeled in some ranges [15][16][17].…”

New approaches in agent-based modeling of complex financial systems

“…The auto-correlation function of returns fluctuates around zero. The power-law exponent of the simulated returns is estimated to be 2.96, close to the so-called inverse cubic law [63,64,65,66].…”