Estimation of intraday stock market resiliency: Short-Time Fourier Transform approach
Joanna Olbryś , Michał Mursztyn
AbstractIn 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.
|Journal series||Physica A-Statistical Mechanics and Its Applications, [Physica A: Statistical Mechanics and its Applications], ISSN 0378-4371, e-ISSN 1873-2119, (N/A 70 pkt)|
|Publication size in sheets||0.55|
|Keywords in English||econophysics, stock market resiliency, Short-Time Fourier Transform, high-frequency data, intraday resiliency patterns|
|Internal identifier||ROC 19-20|
|Score||= 70.0, 04-03-2020, ArticleFromJournal|
|Publication indicators||: 2016 = 1.324; : 2018 = 2.5 (2) - 2018=2.464 (5)|
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