Revisiting Cont's stylized facts for modern stock markets

In 2001, Rama Cont introduced a now-widely used set of ‘stylized facts’ to synthesize empirical studies of financial price changes (returns), resulting in 11 statistical properties common to a large set of assets and markets. These properties are viewed as constraints a model should be able to reproduce in order to accurately represent returns in a market. It has not been established whether the characteristics Cont noted in 2001 still hold for modern markets following significant regulatory shifts and technological advances. It is also not clear whether a given time series of financial returns for an asset will express all 11 stylized facts. We test both of these propositions by attempting to replicate each of Cont's 11 stylized facts for intraday returns of the individual stocks in the Dow 30, using the same authoritative data as that used by the U.S. regulator from October 2018–March 2019. We find conclusive evidence for eight of Cont's original facts and no support for the remaining three. Fact #10 (volume/volatility correlation) is only supported when returns are measured in clock-time (based on timestamps) and not when returns are measured in event-time (with trades as the events). Our study represents the first test of Cont's 11 stylized facts against a consistent set of stocks, therefore providing insight into how these stylized facts should be viewed in the context of modern stock markets.