Empirical distributions of Chinese stock returns at different microscopic timescales

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 2-3, 2008, Pages 495-502

  Gu, Gao Feng ^a   Chen, Wei ^b   Zhou, Wei Xing ^a,c  

^a EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^b Shenzhen Stock Exchange   (China)

^c EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

Chinese stocks; Econophysics; Inverse cubic law; Order book and order flow; Power law tail; Probability distribution; Ultra high frequency data

Indexed keywords

INVENTORY CONTROL; INVERSE KINEMATICS; MARKETING; PROBLEM SOLVING; VARIATIONAL TECHNIQUES;

CHINESE STOCKS; ECONOPHYSICS; INVERSE CUBIC LAWS; ORDER BOOK AND ORDER FLOW; POWER-LAW TAIL; ULTRA-HIGH-FREQUENCY DATA;

PROBABILITY DISTRIBUTIONS;

EID: 36448933493     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.10.012     Document Type: Article

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