英文标题：
《Emergence of stylized facts during the opening of stock markets》
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作者：
Sebastian M. Krause, Jonas A. Fiegen, Thomas Guhr
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最新提交年份：
2018
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英文摘要：
Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the other hand, financial markets show various stylized facts which are remarkably stable. It is thus an intriguing question to find out how these stylized facts emerge. As a first example, we here investigate how the bid-ask-spread between best sell and best buy offer for stocks develops during the trading day. For rescaled and properly smoothed data we observe collapsing curves for many different NASDAQ stocks, with a slow power law decline of the spread during the whole trading day. This effect emerges robustly after a highly fluctuating opening period. Some so called large-tick stocks behave differently because of technical boundaries. Their spread closes to one tick shortly after the market opening. We use our findings for identifying the duration of the market opening which we find to vary largely from stock to stock.
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中文摘要：
金融市场表现出许多非平稳性，从不断变化的技术和监管市场条件下的波动性波动到季节性波动。另一方面，金融市场显示出各种风格化的事实，这些事实非常稳定。因此，找出这些程式化的事实是如何出现的是一个有趣的问题。作为第一个例子，我们在此研究股票的百思买出价和百思买出价之间的买卖价差在交易日是如何发展的。对于经过重新调整和适当平滑的数据，我们观察到许多不同纳斯达克股票的崩塌曲线，整个交易日的利差呈幂律缓慢下降。这一效应在经历了一段高度波动的开放期后，迅速显现出来。由于技术上的限制，一些所谓的大型股票表现不同。开盘后不久，它们的价差接近一滴答。我们使用我们的研究结果来确定市场开放的持续时间，我们发现市场开放的持续时间因股票而异。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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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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