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Non-Gaussianity of the Intraday Returns Distribution: its evolution in time

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  • M. A. Virasoro

Abstract

We find a remarkable time persistence of various proxies for the kurtosis (p-kurtosis) of the intraday returns distribution for the S&P500 index and this permits a significant measure of their evolution from 1983 to 2004. There appears a long time scale dramatic variation of the p-kurtosis uncorrelated with the variation of the volatility thus falsifying any hypothesis of a universal shape for the probability distribution of the returns. A large increase in the kurtosis anticipates the October 87 crash. During the years 1991-2003 it continuously decreases even when the volatility grows during the dot-com bubble. We propose some speculative interpretations of these results.

Suggested Citation

  • M. A. Virasoro, 2011. "Non-Gaussianity of the Intraday Returns Distribution: its evolution in time," Papers 1112.0770, arXiv.org, revised Dec 2011.
    • Handle: RePEc:arx:papers:1112.0770
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    References listed on IDEAS

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    Cited by:

    1. R'emy Chicheportiche, 2013. "Non-linear dependences in finance," Papers 1309.5073, arXiv.org.
    2. R'emy Chicheportiche & Jean-Philippe Bouchaud, 2012. "The fine-structure of volatility feedback I: multi-scale self-reflexivity," Papers 1206.2153, arXiv.org, revised Sep 2013.

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