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Individual and collective stock dynamics: intra-day seasonalities

dc.contributor.authorAllez, Romain
dc.contributor.authorBouchaud, Jean-Philippe
dc.date.accessioned2013-01-28T14:46:29Z
dc.date.available2013-01-28T14:46:29Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/10898
dc.language.isoenen
dc.subjectComputational physicsen
dc.subjectStatistical physics and nonlinear systemsen
dc.subjectStatistical Financeen
dc.subject.ddc519
dc.subject.classificationjelG1
dc.titleIndividual and collective stock dynamics: intra-day seasonalitiesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe establish several new stylized facts concerning the intra-day seasonalities of stock dynamics. Beyond the well-known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day, leading to a smaller relative dispersion between stocks. Somewhat paradoxically, the kurtosis (a measure of volatility surprises) reaches a minimum at the open of the market, when the volatility is at its peak. We confirm that the dispersion kurtosis is a markedly decreasing function of the index return. This means that during large market swings, the idiosyncratic component of the stock dynamics becomes sub-dominant. In a nutshell, the early hours of trading are dominated by idiosyncratic or sector-specific effects with little surprises, whereas the influence of the market factor increases throughout the day, and surprises become more frequent.en
dc.relation.isversionofjnlnameNew Journal of Physics
dc.relation.isversionofjnlvol13en
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpagesn°025010en
dc.relation.isversionofdoihttp://dx.doi.org/10.1088/1367-2630/13/2/025010en
dc.identifier.urlsitehttp://arxiv.org/abs/1009.4785en
dc.relation.isversionofjnlpublisherIOP Scienceen
dc.subject.ddclabelProbabilités et mathématiques appliquées
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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