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 inver...

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Bibliographic Details
Published in:Physica A 2008-01, Vol.387 (2), p.495-502
Main Authors: Gu, Gao-Feng, Chen, Wei, Zhou, Wei-Xing
Format: Article
Language:English
Subjects:
Chinese stocks
Econophysics
Inverse cubic law
Order book and order flow
Power-law tail
Probability distribution
Ultra-high-frequency data
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Summary: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 min), the returns follow the Student distribution with power-law tails. With the decrease in timescale, the tail becomes fatter, which is consistent with the variational theory in Turbulence.
ISSN:0378-4371
1873-2119
DOI:10.1016/j.physa.2007.10.012