dorsal/arxiv
View SchemaSmall scale behavior of financial data
| Authors | Andreas P. Nawroth, Joachim Peinke |
|---|---|
| Categories | |
| ArXiv ID | physics/0509257 |
| URL | https://arxiv.org/abs/physics/0509257 |
| DOI | 10.1140/epjb/e2006-00120-3 |
Abstract
A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a function of the timescale. To this purpose a measure is introduced, which quantifies the distance of a considered distribution to a reference distribution. The existence of a small timescale regime is demonstrated, which exhibits different properties compared to the normal timescale regime. This regime seems to be universal for individual stocks. It is shown that the existence of this small timescale regime is not dependent on the special choice of the distance measure or the reference distribution. These findings have important implications for risk analysis, in particular for the probability of extreme events.
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"abstract": "A new approach is presented to describe the change in the statistics of the\nlog return distribution of financial data as a function of the timescale. To\nthis purpose a measure is introduced, which quantifies the distance of a\nconsidered distribution to a reference distribution. The existence of a small\ntimescale regime is demonstrated, which exhibits different properties compared\nto the normal timescale regime. This regime seems to be universal for\nindividual stocks. It is shown that the existence of this small timescale\nregime is not dependent on the special choice of the distance measure or the\nreference distribution. These findings have important implications for risk\nanalysis, in particular for the probability of extreme events.",
"arxiv_id": "physics/0509257",
"authors": [
"Andreas P. Nawroth",
"Joachim Peinke"
],
"categories": [
"physics.data-an",
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1140/epjb/e2006-00120-3",
"title": "Small scale behavior of financial data",
"url": "https://arxiv.org/abs/physics/0509257"
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