How Fast Does the Clock of Finance Run?—A Time-Definition Enforcing Stationarity and Quantifying Overnight Duration

Journal of Risk and Financial Management

Fulvio Baldovin¹  Attilio L. Stella¹  Michele Caraglio² 

[1] Dipartimento di Fisica e Astronomia and Sezione INFN, Università di Padova, Via Marzolo 8, I-35131 Padova, Italy;Institut für Theoretische Physik, Universität Innsbruck, Technikerstraße 21A, A-6020 Innsbruck, Austria;

关键词: nonstationary time series;    cyclostationary;    scale invariance;    financial time;   

DOI  :  10.3390/jrfm14080384

来源: DOAJ

【 摘 要 】

A definition of time based on the assumption of scale invariance may enhance and simplify the analysis of historical series with cyclically recurrent patterns and seasonalities. By enforcing simple-scaling and stationarity of the distributions of returns, we identify a successful protocol of time definition in finance, functional from tens of minutes to a few days. Within this time definition, the significant reduction of cyclostationary effects allows analyzing the structure of the stochastic process underlying the series on the basis of statistical sampling sliding along the whole time series. At the same time, the duration of periods in which markets remain inactive is properly quantified by the novel clock, and the corresponding returns (e.g., overnight or weekend) can be consistently taken into account for financial applications. The method is applied to the S&P500 index recorded at a 1 min frequency between September 1985 and June 2013.

【 授权许可】

Unknown