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Empirical distributions of Chinese stock returns at different microscopic timescales

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  • Gu, Gao-Feng
  • Chen, Wei
  • Zhou, Wei-Xing

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.

Suggested Citation

  • Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical distributions of Chinese stock returns at different microscopic timescales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 495-502.
    • Handle: RePEc:eee:phsmap:v:387:y:2008:i:2:p:495-502
    DOI: 10.1016/j.physa.2007.10.012
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