摘要翻译：
我们发现S&P500指数日内收益率分布的峰度（p峰度）的各种代号具有显着的时间持续性，这允许对它们从1983年到2004年的演变进行显着的度量。p-purtosis出现了一个长时间尺度的剧烈变化，与波动率的变化无关，从而证伪了任何关于收益概率分布的普遍形状假设。峭度的大幅增加预示着87年10月的崩盘。在1991-2003年期间，即使在网络泡沫期间波动性增加，它也在持续下降。我们对这些结果提出了一些推测性的解释。
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英文标题：
《Non-Gaussianity of the Intraday Returns Distribution: its evolution in
  time》
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作者：
M. A. Virasoro
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  We find a remarkable time persistence of various proxies for the kurtosis (p-kurtosis) of the intraday returns distribution for the S&P500 index and this permits a significant measure of their evolution from 1983 to 2004. There appears a long time scale dramatic variation of the p-kurtosis uncorrelated with the variation of the volatility thus falsifying any hypothesis of a universal shape for the probability distribution of the returns. A large increase in the kurtosis anticipates the October 87 crash. During the years 1991-2003 it continuously decreases even when the volatility grows during the dot-com bubble. We propose some speculative interpretations of these results.
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PDF链接：
https://arxiv.org/pdf/1112.0770