Empirical properties of asset returns: stylized facts and statistical issues
总结了各类金融市场价格变动的统计典型事实，包括分布特征、尾部风险、路径规律及时间与跨股票的相关性，并指出这些性质如何使常用统计方法失效。
Abstract We present a set of stylized empirical facts emerging from the statistical analysis of price variations in various types of financial markets. We first discuss some general issues common to all statistical studies of financial time series. Various statistical properties of asset returns are then described: distributional properties, tail properties and extreme fluctuations, pathwise regularity, linear and nonlinear dependence of returns in time and across stocks. Our description emphasizes properties common to a wide variety of markets and instruments. We then show how these statistical properties invalidate many of the common statistical approaches used to study financial data sets and examine some of the statistical problems encountered in each case.