Statistical Methods in Finance 2023

December 19 to 23, 2023



Study of Stylized Facts in Stock Market Data

By Vaibhav Sherkar
Indian Statistical Institute, Kolkata

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.