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The near-extreme density of intraday log-returns

Author

Listed:
  • Mauro Politi

    (SSRI - SSRI & Department of Economics and Business - International Christian University, BCAM - Basque Center for Applied Mathematics - Basque Center for Applied Mathematics)

  • Nicolas Millot

    (MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec)

  • Anirban Chakraborti

    (MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec)

Abstract

The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by nonstationarity and dependence between increments. Furthermore, the convergence to the limit distributions can be slow, requiring a huge amount of records to obtain significant statistics, and thus limiting its practical applications. Focussing, instead, on the closely related density of ''near-extremes'' - the distance between a record and the maximal value - can render the statistical methods to be more suitable in the practical applications and/or validations of models. We apply this recently proposed method in the empirical validation of an adapted financial market model of the intraday market fluctuations.

Suggested Citation

  • Mauro Politi & Nicolas Millot & Anirban Chakraborti, 2011. "The near-extreme density of intraday log-returns," Post-Print hal-00827942, HAL.
    • Handle: RePEc:hal:journl:hal-00827942
    DOI: 10.1016/j.physa.2011.05.029
    Note: View the original document on HAL open archive server: https://hal.science/hal-00827942
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    References listed on IDEAS

    as
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