IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1612.07802.html
   My bibliography  Save this paper

How fast does the clock of Finance run? - A time-definition enforcing scale invariance and quantifying overnights

Author

Listed:
  • Michele Caraglio
  • Fulvio Baldovin
  • Attilio L. Stella

Abstract

A symmetry-guided definition of time may enhance and simplify the analysis of historical series with recurrent patterns and seasonalities. By enforcing simple-scaling and stationarity of the distributions of returns, we identify a successful protocol of time definition in Finance. The essential structure of the stochastic process underlying the series can thus be analyzed within a most parsimonious symmetry scheme in which multiscaling is reduced in the quest of a time scale additive and independent of moment-order in the distribution of returns. At the same time, duration of periods in which markets remain inactive are properly quantified by the novel clock, and the corresponding (e.g., overnight) returns are consistently taken into account for financial applications.

Suggested Citation

  • Michele Caraglio & Fulvio Baldovin & Attilio L. Stella, 2016. "How fast does the clock of Finance run? - A time-definition enforcing scale invariance and quantifying overnights," Papers 1612.07802, arXiv.org, revised Aug 2017.
    • Handle: RePEc:arx:papers:1612.07802
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1612.07802
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1612.07802. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.