Individual and collective stock dynamics: intra-day seasonalities
Allez, Romain; Bouchaud, Jean-Philippe (2011), Individual and collective stock dynamics: intra-day seasonalities, New Journal of Physics, 13, p. n°025010. http://dx.doi.org/10.1088/1367-2630/13/2/025010
TypeArticle accepté pour publication ou publié
External document linkhttp://arxiv.org/abs/1009.4785
Journal nameNew Journal of Physics
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Abstract (EN)We establish several new stylized facts concerning the intra-day seasonalities of stock dynamics. Beyond the well-known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day, leading to a smaller relative dispersion between stocks. Somewhat paradoxically, the kurtosis (a measure of volatility surprises) reaches a minimum at the open of the market, when the volatility is at its peak. We confirm that the dispersion kurtosis is a markedly decreasing function of the index return. This means that during large market swings, the idiosyncratic component of the stock dynamics becomes sub-dominant. In a nutshell, the early hours of trading are dominated by idiosyncratic or sector-specific effects with little surprises, whereas the influence of the market factor increases throughout the day, and surprises become more frequent.
Subjects / KeywordsComputational physics; Statistical physics and nonlinear systems; Statistical Finance
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Invariant β-Wishart ensembles, crossover densities and asymptotic corrections to the Marcenko–Pastur law Allez, Romain; Bouchaud, Jean-Philippe; Najumdar, Satya N.; Vivo, Pierpaolo (2013) Article accepté pour publication ou publié