In this paper an exhaustive characterization of financial markets was given.
- Dependence: Autocorrelation in returns if largely insignificant. (Exceptions being at the tick level and annual returns.)
- Distribution: Approximately symmetric, increasingly positive kurtosis as the time interval decreases and a power-law or Pareto-like tail.
- Heterogeneity: Non-stationary (clustered volatility).
- Non-linearity: Non-linearities in mean and (especially) variance.
- Scaling: Markets exhibit non-trivial scaling properties.
- Volatility: Volatility exhibits autoregressive conditional heteroskedasticity. Long-range dependence of autocorrelation, log-normal distribution, non-stationary, non-linear and scaling.
- Volume: Distribution decays as a power law, also calendar effects.
- Calendar effects: Intraday effects exist, the weekend effect seems to have all but disappeared, intramonth effects were found in most countries, the January effect has halved, holiday effects exist in some countries.