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Empirical distributions of Chinese stock returns at different microscopic timescales

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  • Gao-Feng Gu

    (ECUST)

  • Wei Chen

    (SZSE)

  • Wei-Xing Zhou

    (ECUST)

Abstract

We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We find that the returns at the one-trade timescale obey the inverse cubic law. For larger timescales (2-32 trades and 1-5 minutes), the returns follow the Student distribution with power-law tails. With the decrease of timescale, the tail becomes fatter, which is consistent with the vibrational theory.

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  • Gao-Feng Gu & Wei Chen & Wei-Xing Zhou, 2007. "Empirical distributions of Chinese stock returns at different microscopic timescales," Papers 0708.3472, arXiv.org.
    • Handle: RePEc:arx:papers:0708.3472
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