文献类型：期刊文献

英文题名：Empirical distributions of Chinese stock returns at different microscopic timescales

作者：Gu, Gao-Feng[1,2];Chen, Wei[3];Zhou, Wei-Xing[1,2,4,5]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[3]Shenzhen Stock Exchange, Shenzhen 518010, Peoples R China;[4]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[5]E China Univ Sci & Technol, Res Ctr Syst Engn, Shanghai 200237, Peoples R China

年份：2008

卷号：387

期号：2-3

起止页码：495

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20074810955743);WOS:【SSCI(收录号:WOS:000251896800015)，SCI-EXPANDED(收录号:WOS:000251896800015)】；

语种：英文

外文关键词：econophysics; probability distribution; Chinese stocks; ultra-high-frequency data; order book and order flow; inverse cubic law; power-law tail

摘要：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 min), the returns follow the Student distribution with power-law tails. With the decrease in timescale, the tail becomes fatter, which is consistent with the variational theory in Turbulence. (C) 2007 Elsevier B.V. All rights reserved.