摘要翻译：
我们建立了几个关于股票动态的日内季节性的新的风格化事实。除了众所周知的U型波动模式之外，我们发现股票之间的平均相关性全天都在增加，导致股票之间的相对离散度变小。有些矛盾的是，峰度（波动性意外的度量）在市场开盘时达到最小值，而此时波动性达到顶峰。我们证实了色散峰度是指数收益的显着递减函数。这意味着，在市场大幅波动期间，股票动态的特质成分变得次主导。简而言之，早盘交易主要受特质效应或行业效应的影响，很少出现意外，而全天市场因素的影响增加，意外变得更加频繁。
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英文标题：
《Individual and collective stock dynamics: intra-day seasonalities》
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作者：
Romain Allez, Jean-Philippe Bouchaud
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最新提交年份：
2010
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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 establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day, leading to a smaller relative dispersion between stocks. Somewhat paradoxically, the kurtosis (a measure of volatility surprises) reaches a minimum at the open of the market, when the volatility is at its peak. We confirm that the dispersion kurtosis is a markedly decreasing function of the index return. This means that during large market swings, the idiosyncratic component of the stock dynamics becomes sub-dominant. In a nutshell, early hours of trading are dominated by idiosyncratic or sector specific effects with little surprises, whereas the influence of the market factor increases throughout the day, and surprises become more frequent.
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PDF链接：
https://arxiv.org/pdf/1009.4785