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Empirical distributions of Chinese stock returns at different microscopic timescales
Gao-Feng Gu 1,Wei Chen 2,Wei-Xing Zhou 1 * #
1.School of Business, East China University of Science and Technology
2.Shenzhen Stock Exchange
*Correspondence author
#Submitted by
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Funding: 自然科学基金,霍英东基金,上海市青年科技启明星计划(No.70501011,101086,06QA14015)
Opened online:28 August 2007
Accepted by: none
Citation: Gao-Feng Gu,Wei Chen,Wei-Xing Zhou.Empirical distributions of Chinese stock returns at different microscopic timescales[OL]. [28 August 2007] http://en.paper.edu.cn/en_releasepaper/content/14737
 
 
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.
Keywords:Econophysics; Probability distribution; Chinese stocks;Ultra-high-frequency data; Order book and order flow; Inverse cubic law; Power-law tail
 
 
 

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