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In 2001 R.Cont stated in "Empirical properties of asset returns: stylized facts and statistical issues" article a set of stylized statistical facts which are common to a wide set of financial assets. The set was later reproduced with minor changes in "Encyclopedia of Quantitative Finance" in 2010.

Here is the set:

  1. Absence of autocorrelations
  2. Heavy tails
  3. Gain/Loss assymetry
  4. Aggregational Gaussianity (later renamed to "Aggregational normality")
  5. Intermittency (later excluded from the set)
  6. Volatility clustering
  7. Conditional heavy tails
  8. Slow decay of autocorrelation in absolute returns
  9. Leverage effect
  10. Volume/volatility correlation
  11. Assymetry in time scales

Have any new candidates into the stylized facts set been discovered since then?

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    $\begingroup$ Maybe some new features regarding intraday / high-frequency data? I am thinking about intraday seasonality for example. $\endgroup$ – JejeBelfort Jun 8 '17 at 10:53
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I think there has been established a strong argument for jumps (both in prices and volatility!). Jumps seem to matter a lot for explaining the distribution of volatility and price increments, as well as for option pricing. See Broadie, Chernov and Johannes (2007) link for further reference.

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What about

  • asset prices being integrated and returns tend to be stationary?
  • Non-linear dependence. The correlation between assets increases significantly during crises supporting that returns are not jointly normally distributed.
  • Volatility being persistent
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