英文标题：
《Bin Size Independence in Intra-day Seasonalities for Relative Prices》
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作者：
Esteban Guevara Hidalgo
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最新提交年份：
2016
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英文摘要：
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.
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中文摘要：
在本文中，我们对CAC$40$和S\\&P$500$的收益和相对价格进行了统计分析，目的是分析单个和横截面股票动态的日内季节性。为了做到这一点，我们通过一个典型的一天中其收益（和相对价格）时刻的演变来描述一只股票（或一组股票）的动态。我们证明，这些日内季节性与仓位大小无关，对于相对价格，我们考虑的指数（但每个指数的特征）与收益无关。最后，我们建议如何使用这种仓位大小独立性来描述指数的“非典型日”和股票的“异常行为”。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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