Estimation of intraday stock market resiliency: Short-Time Fourier Transform approach

Joanna Olbryś , Michał Mursztyn

Abstract

In this study, a new methodology for intraday stock resiliency measurement based on the Short-Time Fourier Transform (STFT) for high-frequency data is introduced and utilized. The STFT is a Discrete Fourier Transform (DFT) variant that measures local signal changes over time. Resiliency is one of stock market liquidity dimensions and, as an estimate of price dynamism, is not constant over a given time period. The findings of empirical experiments for real-data from the Warsaw Stock Exchange confirm that the new proxy enables us to unveil and investigate intraday patterns of resiliency. We wish to emphasize both theoretical and practical aspects of market resiliency measurement.
Author Joanna Olbryś (FCS / DTCS)
Joanna Olbryś,,
- Department of Theoretical Computer Science
, Michał Mursztyn (FCS)
Michał Mursztyn,,
- Faculty of Computer Science
Journal seriesPhysica A-Statistical Mechanics and Its Applications, [Physica A: Statistical Mechanics and its Applications], ISSN 0378-4371, e-ISSN 1873-2119, (N/A 70 pkt)
Issue year2019
Vol535
Pages1-12
Publication size in sheets0.55
Keywords in Englisheconophysics, stock market resiliency, Short-Time Fourier Transform, high-frequency data, intraday resiliency patterns
ASJC Classification2613 Statistics and Probability; 3104 Condensed Matter Physics
DOIDOI:10.1016/j.physa.2019.122413
Internal identifierROC 19-20
Languageen angielski
Score (nominal)70
Score sourcejournalList
ScoreMinisterial score = 70.0, 04-03-2020, ArticleFromJournal
Publication indicators Scopus SNIP (Source Normalised Impact per Paper): 2016 = 1.324; WoS Impact Factor: 2018 = 2.5 (2) - 2018=2.464 (5)
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nr artykułu122413
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