Can someone give an overview or literature on Intraday Data Stylized Facts?
In particular for equity market returns or exchange rates.
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Sign up to join this communityCan someone give an overview or literature on Intraday Data Stylized Facts?
In particular for equity market returns or exchange rates.
Stationarity. The distribution of returns is non-stationary. Moreover, standard deviation of returns is not constant over time.
Symmetry. The distribution of returns is approximately symmetric with increasing leptokurtosis as sampling frequency increases. However, large drawdowns are not matched with equally large upward movements.
Gaussian behavior. Returns become increasingly normal with decreasing frequency. Long horizon returns are approximately normal
Serial correlation. There exist anomalies in the serial correlation of returns, which are nevertheless impossibly difficult to forecast.
Scaling properties and asymmetry in time scale. Time scaling is nontrivial as returns are not iid, but there is documented evidence for fairly stable, empirical scaling properties.
This reminds me of a paper by Rama Cont: "Empirical properties of asset returns: stylized facts and statistical issues.". You can download here:
http://www.cmap.polytechnique.fr/~rama/papers/empirical.pdf
He also has a paper on volatility clustering: "Volatility clustering in financial markets: empirical facts and agent-based models.", which may be of your interest.
http://www.cmap.polytechnique.fr/~rama/papers/clustering.pdf
Hope this help.