Revisiting Stylized Facts for Modern Stock Markets
arXiv (Cornell University)(2023)
摘要
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.
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关键词
stock markets,stylized facts,time series analysis
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