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Statistical analysis of high frequency data from the Athens stock exchange

Author

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  • Mills, Terence C.

Abstract

This paper investigates the statistical behaviour of high-frequency index data from the Athens Stock Exchange. We find that 1min observations on the General Index of the Main Market for the three month period from 1 June 1998 to 10 September 1998 are characterised by very short run persistence and scaling with a break point of 1h, so that the persistence reflects intra-hour correlation. 1min returns are highly leptokurtic, but multi-period returns recover Gaussianity after 8–9 days. Volatility also scales, but with a cross-over point of 1 day, with long-run correlations being particularly important.

Suggested Citation

  • Mills, Terence C., 2001. "Statistical analysis of high frequency data from the Athens stock exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 293(3), pages 566-572.
    • Handle: RePEc:eee:phsmap:v:293:y:2001:i:3:p:566-572
    DOI: 10.1016/S0378-4371(01)00116-9
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    Cited by:

    1. Leal, Sandrine Jacob & Napoletano, Mauro, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
    2. Stavroyiannis, S. & Makris, I. & Nikolaidis, V., 2010. "Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 19-24, January.
    3. repec:hal:spmain:info:hdl:2441/6ummnc8nko827b2luohnctekk7 is not listed on IDEAS
    4. repec:spo:wpmain:info:hdl:2441/6ummnc8nko827b2luohnctekk7 is not listed on IDEAS

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