Empirical distributions of Chinese stock returns at different microscopic timescales
arXiv:0708.3472 · doi:10.1016/j.physa.2007.10.012
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.
14 Elsart page including 2 tables and 3 figures
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