Study of Stylized Facts in Stock Market Data

ArXiv ID: 2310.00753 “View on arXiv”

Authors: Unknown

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.

Keywords: Stylized Empirical Facts, Financial Statistics, Time Series Properties, Multivariate Properties, Equities

Complexity vs Empirical Score

• Math Complexity: 4.0/10
• Empirical Rigor: 6.5/10
• Quadrant: Street Traders
• Why: The paper employs standard statistical concepts like skewness, correlation, and power-law tail estimation without advanced theoretical derivations, but conducts extensive, multi-market empirical analysis with real data and specific statistical tests.

  flowchart TD
    A["Research Goal: Investigate Stylized Empirical Facts"] --> B{"Methodology"}
    B --> C["Collect Stock Price Data<br>10 Global Exchanges"]
    B --> D["Define Multivariate & Time Series Properties"]
    C --> E["Computational Analysis<br>Statistical Tests & Modeling"]
    D --> E
    E --> F["Key Findings & Outcomes<br>1. Confirmed Univariate Stylized Facts<br>2. Identified Multivariate Patterns<br>3. Validated Time Series Properties"]