Intraday dynamics of stock market returns and volatility

Physica A: Statistical Mechanics and its Applications

Volumn 367, Issue , 2006, Pages 375-387

  Selçuk, Faruk ^a   Gençay, Ramazan ^b  

^a BILKENT UNIVERSITY   (Turkey)

^b SIMON FRASER UNIVERSITY   (Canada)

Author keywords

Intraday return; Intraday volatility; Multifractals; Omori's law; Pivotal statistics; Scaling; Self similarity

Indexed keywords

CONTROL NONLINEARITIES; DATA REDUCTION; FRACTALS; MARKETING; STATISTICAL MECHANICS;

INTRADAY RETURN; INTRADAY VOLATILITY; MULTIFRACTALS; OMORI'S LAW; SCALING; SELF-SIMILARITY;

INVENTORY CONTROL;

EID: 33646369644     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.12.019     Document Type: Article

References (54)

1. Davidson R., and MacKinnon J.G. Econometric Theory and Methods (2003), Oxford Press, New York
2. Campbell J.Y. Asset pricing at the millennium. J. Finance 4 (2000) 1515-1567
3. Cochrane J.H. New facts in finance. Federal Reserve Bank of Chicago 23 (1999) 59-78
4. Poon S., and Granger C.W.J. Forecasting volatility in financial markets: a review. J. Econ. Literature 41 (2003) 478-539
5. Sharpe W.F. Capital asset prices: a theory of market equilibrium under conditions of risk. J. Finance 19 (1964) 425-442
6. Dacorogna M., Gençay R., Muller U., Olsen R., and Pictet O. An Introduction to High-Frequency Finance (2001), Academic Press, San Diego
7. Gençay R., Ballocchi G., Dacorogna M., Olsen R., and Pictet O. Real-time trading models and the statistical properties of foreign exchange rates. Int. Econ. Rev. 43 (2002) 463-491
8. R. Gençay, F. Selçuk, B. Whitcher, Asymmetry of information flow between volatilities across time scales, manuscript, 〈http://www.sfu.ca/ ∼rgencay/whmm.pdf (2003).
9. Gençay R., Dacorogna M., Olsen R., and Pictet O. Real-time trading models and market behavior. J. Econ. Dyn. Control 27 (2003) 909-935
10. Lynch P.E., and Zumbach G.O. Market heterogeneities and the causal structure of volatility. Quant. Finance 3 (2003) 320-331
11. Ghashgaie S., Breymann W., Peinke J., Talkner P., and Dodge Y. Turbulent cascades in foreign exchange markets. Nature 381 (1996) 767-770
12. Mantegna R.N., and Stanley H.E. Turbulent and exchange markets. Nature 383 (1996) 587-588
13. Mantegna R.N., and Stanley H.E. Stock market dynamics and turbulence: parallel analysis of fluctuation phenomena. Physica A 239 (1997) 255-266
14. Arnéodo A., Muzy J.F., and Sornette D. Direct causal cascade in the stock market. Eur. Phys. J. B 2 (1998) 277-282
15. Gençay R., Selçuk F., and Whitcher B. An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2001), Academic Press, San Diego
16. Gençay R., Selçuk F., and Whitcher B. Multiscale systematic risk. J. Int. Money Finance 24 (2005) 55-70
17. Gençay R., Selçuk F., and Whitcher B. Systematic risk and time scales. Quant. Finance 3 (2003) 108-116
18. Selçuk F. Financial earthquakes, aftershocks and scaling in emerging stock markets. Physica A 333 (2004) 306-316
19. Xu Z., and Gençay R. Scaling, self-similarity and multifractality in FX markets. Physica A 323 (2003) 578-590
20. Ramsey J.B. The contribution of wavelets to the analysis of economic and financial data. Phil. Trans. R. Soc. London A 357 (1999) 2593-2606
21. Ramsey J.B. Wavelets in economics and finance: past and future. Stud. Nonlinear Dyn. & Econometrics 3 (2002) 1
22. Bjornson B., Kim H.S., and Lee K. Low and high frequency macroeconomic forces in asset pricing. Quart. Rev. Econ. Finance 39 (1999) 77-100
23. Bouchaud J.P., Potters M., and Meyer M. Apparent multifractality in financial time series. Eur. Phys. J. B 13 (2000) 595-599
24. LeBaron B. Stochastic volatility as a simple generator of apparent financial power laws and long memory. Quant. Finance 1 (2001) 621-631
25. Stanley H.E., and Plerou V. Scaling and universality in economics: Empirical results and theoretical interpretation. Quant. Finance 1 (2001) 563-567
26. B. Mandelbrot, A. Fisher, L. Calvet, A multifractal model of asset returns, cowles Foundation Discussion Paper No. 1164, Yale University, 1997.
27. Calvet L., and Fisher A. Forecasting multifractal volatility. J. Econometrics 105 (2001) 27-58
28. Calvet L., and Fisher A. Multifractality in asset returns: theory and evidence. Rev. Econ. Stat. 84 (2002) 381-406
29. J.D. Farmer, Physicists attempt to scale the ivory towers of finance, Computing in Science and Engineering (IEEE) November/December (1999) 26-39.
30. Brock W.A. Scaling in economics: a reader's guide. Ind. Corporate Change 8 (1999) 409-446
31. Harris L. Trading & Exchanges: Market Microstructure for Practitioners (2003), Oxford University Press, Oxford
32. O'Hara M. Market Microstructure Theory (1995), Blackwell Publishers Ltd, Oxford
33. Campbell J.Y., Lo A.W., and MacKinlay A.C. The Econometrics of Financial Markets (1997), Princeton University Press, Princeton, NJ
34. Ahn D., Boudoukh J., Richardson M., and Whitelaw R.F. Partial adjustment or stale prices? Implications from stock index and futures return autocorrelations. Rev. Financial Stud. 15 (2002) 655-689
35. Bouchaud J.-B., and Potters M. Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management (2003), Cambridge University Press, Cambridge
36. Roll R. A simple implicit measure of the effective bid-ask spread in an efficient market. J. Finance 39 (1984) 1127-1139
37. Barclay M.J., and Hendershott T. Price discovery and trading after hours. Rev. Financial Stud. 16 (2003) 1041-1073
38. Amihud Y., and Mendelson H. Trading mechanisms and stock returns: an empirical investigation. J. Finance 42 (1986) 533-553
39. Mandelbrot B.B. Fractals, Form, Chance and Dimension (1977), W.H. Freeman and Company, New York
40. Mandelbrot B.B. The Fractal Geometry of Nature (1983), W.H. Freeman and Company, New York
41. Beran J. Statistics for Long-Memory Processes (1994), Chapman & Hall, London
42. Matteo T.D., Aste T., and Dacorogna M.M. Scaling behaviors in differently developed markets. Physica A 324 (2003) 183-188
43. T.D. Matteo, T. Aste, M.M. Dacorogna, Using the scaling analysis to characterize financial markets, J. Empirical Finance, 2004, forthcoming.
44. Hurst H.E. Long-term storage capacity of reservoirs. Trans. Am. Soc. Civil Engineers 116 (1951) 770-799
45. Lo A.W. Long-memory in stock market prices. Econometrica 59 (1991) 1279-1313
46. Mandelbrot B.B. New methods in statistical economics. J. Political Econ. 71 (1963) 421-440
47. Mandelbrot B.B. The variation of certain speculative prices. J. Business 36 (1963) 394-419
48. Mandelbrot B.B. Stochastic volatility, power laws and long memory. Quantitative Finance 6 (2001) 558-559
49. Sornette D., Johansen A., and Bouchaud J.P. Stock market crashes, precursors and replicas. J. Phys. I 6 (1996) 167-175
50. F. Lillo, R.N. Mantegna, Dynamics of financial market index after a crash, Manuscript, http://arXiv.org/abs/cond-mat/0209685 (2002).
51. Lillo F., and Mantegna R.N. Power law relaxation in a complex system: Omori law after a financial market crash. Phys. Rev. E 68 (2003) 1-5
52. Omori F. On the after-shocks of earthquakes. J. Coll. Sci. Imp. Univ. Tokyo 7 (1894) 111-200
53. Sornette D., Malevergne Y., and Muzy J.F. What causes crashes?. Risk 16 (2003) 67-71
54. Sornette D., and Helmstetter A. Endogeneous versus exogeneous shocks in systems with memory. Physica A 318 (2003) 577-591