Bin Size Independence in Intra-day Seasonalities for Relative Prices

TL;DR

This study reveals that intra-day seasonal patterns in relative prices are independent of bin size and index, providing a new way to identify atypical trading days and stock anomalies.

Contribution

It demonstrates bin size independence in intra-day seasonalities of relative prices, offering a novel approach to detect unusual market behaviors.

Findings

Intra-day seasonalities are independent of bin size for relative prices.

Seasonalities are characteristic for each index but not for returns.

Proposes using bin size independence to identify atypical days and anomalies.

Abstract

In this paper we perform a statistical analysis over the returns and relative prices of the CAC $40$ and the S\&P $500$ with the purpose of analyzing the intra-day seasonalities of single and cross-sectional stock dynamics. In order to do that, we characterized the dynamics of a stock (or a set of stocks) by the evolution of the moments of its returns (and relative prices) during a typical day. We show that these intra-day seasonalities are independent of the size of the bin, and the index we consider, (but characteristic for each index) for the case of the relative prices but not for the case of the returns. Finally, we suggest how this bin size independence could be used to characterize "atypical days" for indexes and "anomalous behaviours" in stocks.