Study of Stylized Facts in Stock Market Data
Vaibhav Sherkar, Rituparna Sen
TL;DR
This paper reviews common stylized facts in financial data and analyzes stock price data from multiple global exchanges to identify these universal properties.
Contribution
It provides a comprehensive overview of stylized facts and presents an empirical analysis of stock data across various markets to validate these properties.
Findings
Identification of universal stylized facts across markets
Empirical validation of distributional and time series properties
Analysis of stock data from 10 global exchanges
Abstract
A property of data which is common across a wide range of instruments, markets and time periods is known as stylized empirical fact in the financial statistics literature. This paper first presents a wide range of stylized facts studied in literature which include some univariate distributional properties, multivariate properties and time series related properties of the financial time series data. In the next part of the paper, price data from several stocks listed on 10 stock exchanges spread across different continents has been analysed and data analysis has been presented.
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Taxonomy
TopicsStock Market Forecasting Methods · Forecasting Techniques and Applications · Complex Systems and Time Series Analysis