Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
978026 | Physica A: Statistical Mechanics and its Applications | 2008 | 8 Pages |
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 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Gao-Feng Gu, Wei Chen, Wei-Xing Zhou,