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International Financial Markets Through 150 Years: Evaluating Stylized Facts

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  • Sara A. Safari
  • Maximilian Janisch
  • Thomas Leh'ericy

Abstract

In the theory of financial markets, a stylized fact is a qualitative summary of a pattern in financial market data that is observed across multiple assets, asset classes and time horizons. In this article, we test a set of eleven stylized facts for financial market data. Our main contribution is to consider a broad range of geographical regions across Asia, continental Europe, and the US over a time period of 150 years, as well as two of the most traded cryptocurrencies, thus providing insights into the robustness and generalizability of commonly known stylized facts.

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  • Sara A. Safari & Maximilian Janisch & Thomas Leh'ericy, 2025. "International Financial Markets Through 150 Years: Evaluating Stylized Facts," Papers 2504.08611, arXiv.org.
    • Handle: RePEc:arx:papers:2504.08611
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    References listed on IDEAS

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    1. Vaibhav Sherkar & Rituparna Sen, 2023. "Study of Stylized Facts in Stock Market Data," Papers 2310.00753, arXiv.org.
    2. Yaoyue Tang & Karina Arias-Calluari & Michael S. Harr'e & Fernando Alonso-Marroquin, 2024. "Stylized Facts of High-Frequency Bitcoin Time Series," Papers 2402.11930, arXiv.org.
    3. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    4. Bouchaud, Jean-Philippe & Marsili, Matteo & Roehner, Bertrand M & Slanina, František, 2001. "Application Of Physics In Economic Modelling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 1-1.
    5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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