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Estimation of intraday stock market resiliency: Short-Time Fourier Transform approach

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  • Olbrys, Joanna
  • Mursztyn, Michal

Abstract

In this study, a new methodology for intraday stock resiliency measurement based on the Short-Time Fourier Transform (STFT) for high-frequency data is introduced and utilized. The STFT is a Discrete Fourier Transform (DFT) variant that measures local signal changes over time. Resiliency is one of stock market liquidity dimensions and, as an estimate of price dynamism, is not constant over a given time period. The findings of empirical experiments for real-data from the Warsaw Stock Exchange confirm that the new proxy enables us to unveil and investigate intraday patterns of resiliency. We wish to emphasize both theoretical and practical aspects of market resiliency measurement.

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  • Olbrys, Joanna & Mursztyn, Michal, 2019. "Estimation of intraday stock market resiliency: Short-Time Fourier Transform approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    • Handle: RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313901
    DOI: 10.1016/j.physa.2019.122413
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