Finance > Stylized Facts
Stylized Facts: Taxonomy
Andreou, Pittis and Spanos (2001)
- distribution
- dependence
- heterogeneity
Challet, Marsili and Zhang (2001)
- volatility and volume clustering
- return and volume histograms
Cont (2001)
- absence of autocorrelations
- heavy tails
- gain/loss asymmetry
- aggregational Gaussianity
- intermittency
- volatility clustering
- conditional heavy tails
- slow decay of autocorrelation in absolute returns
- leverage effect
- volume/volatility correlation
- asymmetry in time scales
Dacorogna, et al. (2001), page 121
[foreign exchange (FX) rates, interbank money market rates, and Eurofutures contracts]
- autocorrelations of return
- distributional issues
- scaling properties
- seasonality
Frances and van Dijk (2000)
[eight indexes of major stock markets and eight exchange rates vis-à-vas the US dollar...daily and weekly frequency]
- large returns occur more often than expected
- large stock market returns are often negative
- large returns tend to occur in clusters
- large volatility often follows large negative stock market returns
Granger and Ding (1994)
[daily data]
Guillaume, et al. (1997)
[spot intra-daily foreign exchange markets]
- distribution
- price formation process
- heterogeneous structure
Johnson, Jefferies and Hui (2003), page 69
- fat-tailed PDF of price-changes, with non-trivial scaling properties
- slow decay of the autocorrelation of absolute value of price-changes
- volatility clustering
- fast decay of the autocorrelation of price-changes
Taylor (2005), page 51
[daily returns]
- the distribution of returns is not normal
- there is almost no correlation between returns for different days
- the correlations between the magnitudes of returns on nearby days are positive and statistically significant