Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258488 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 8 [Article No.:] 384 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-15
Publisher: 
MDPI, Basel
Abstract: 
A definition of time based on the assumption of scale invariance may enhance and simplify the analysis of historical series with cyclically recurrent patterns and seasonalities. By enforcing simple-scaling and stationarity of the distributions of returns, we identify a successful protocol of time definition in finance, functional from tens of minutes to a few days. Within this time definition, the significant reduction of cyclostationary effects allows analyzing the structure of the stochastic process underlying the series on the basis of statistical sampling sliding along the whole time series. At the same time, the duration of periods in which markets remain inactive is properly quantified by the novel clock, and the corresponding returns (e.g., overnight or weekend) can be consistently taken into account for financial applications. The method is applied to the S&P500 index recorded at a 1 min frequency between September 1985 and June 2013.
Subjects: 
cyclostationary
financial time
nonstationary time series
scale invariance
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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