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Revisiting Stylized Facts for Modern Stock Markets

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  • Ethan Ratliff-Crain
  • Colin M. Van Oort
  • James Bagrow
  • Matthew T. K. Koehler
  • Brian F. Tivnan

Abstract

In 2001, Rama Cont introduced a now-widely used set of 'stylized facts' to synthesize empirical studies of financial time series, resulting in 11 qualitative properties presumed to be universal to all financial markets. Here, we replicate Cont's analyses for a convenience sample of stocks drawn from the U.S. stock market following a fundamental shift in market regulation. Our study relies on the same authoritative data as that used by the U.S. regulator. We find conclusive evidence in the modern market for eight of Cont's original facts, while we find weak support for one additional fact and no support for the remaining two. Our study represents the first test of the original set of 11 stylized facts against the same stocks, therefore providing insight into how Cont's stylized facts should be viewed in the context of modern stock markets.

Suggested Citation

  • Ethan Ratliff-Crain & Colin M. Van Oort & James Bagrow & Matthew T. K. Koehler & Brian F. Tivnan, 2023. "Revisiting Stylized Facts for Modern Stock Markets," Papers 2311.07738, arXiv.org.
    • Handle: RePEc:arx:papers:2311.07738
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    1. Muller, Ulrich A. & Dacorogna, Michel M. & Dave, Rakhal D. & Olsen, Richard B. & Pictet, Olivier V. & von Weizsacker, Jacob E., 1997. "Volatilities of different time resolutions -- Analyzing the dynamics of market components," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 213-239, June.
    2. Moonis Shakeel & Bhavana Srivastava, 2021. "Stylized Facts of High-frequency Financial Time Series Data," Global Business Review, International Management Institute, vol. 22(2), pages 550-564, April.
    3. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December.
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    5. Brian F Tivnan & David Rushing Dewhurst & Colin M Van Oort & John H Ring IV & Tyler J Gray & Brendan F Tivnan & Matthew T K Koehler & Matthew T McMahon & David M Slater & Jason G Veneman & Christopher, 2020. "Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-24, January.
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