International Financial Markets Through 150 Years: Evaluating Stylized Facts
Statistical Finance
2025-04-14 v1 General Finance
Abstract
In the theory of financial markets, a stylized fact is a qualitative summary of a pattern in financial market data that is observed across multiple assets, asset classes and time horizons. In this article, we test a set of eleven stylized facts for financial market data. Our main contribution is to consider a broad range of geographical regions across Asia, continental Europe, and the US over a time period of 150 years, as well as two of the most traded cryptocurrencies, thus providing insights into the robustness and generalizability of commonly known stylized facts.
Cite
@article{arxiv.2504.08611,
title = {International Financial Markets Through 150 Years: Evaluating Stylized Facts},
author = {Sara A. Safari and Maximilian Janisch and Thomas Lehéricy},
journal= {arXiv preprint arXiv:2504.08611},
year = {2025}
}
Comments
44 pages, 34 figures