{"id":"https://openalex.org/W4391097746","doi":"https://doi.org/10.1109/bigdata59044.2023.10386957","title":"Revisiting Stylized Facts for Modern Stock Markets","display_name":"Revisiting Stylized Facts for Modern Stock Markets","publication_year":2023,"publication_date":"2023-12-15","ids":{"openalex":"https://openalex.org/W4391097746","doi":"https://doi.org/10.1109/bigdata59044.2023.10386957"},"language":"en","primary_location":{"id":"doi:10.1109/bigdata59044.2023.10386957","is_oa":false,"landing_page_url":"https://doi.org/10.1109/bigdata59044.2023.10386957","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2023 IEEE International Conference on Big Data (BigData)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5001252670","display_name":"Ethan Ratliff-Crain","orcid":null},"institutions":[{"id":"https://openalex.org/I111236770","display_name":"University of Vermont","ror":"https://ror.org/0155zta11","country_code":"US","type":"education","lineage":["https://openalex.org/I111236770"]},{"id":"https://openalex.org/I44896327","display_name":"Mitre (United States)","ror":"https://ror.org/03ks2a131","country_code":"US","type":"company","lineage":["https://openalex.org/I44896327"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ethan Ratliff-Crain","raw_affiliation_strings":["University of Vermont,Vermont Complex Systems Center,Burlington,USA,VT 05405","The MITRE Corporation, McLean, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Vermont,Vermont Complex Systems Center,Burlington,USA,VT 05405","institution_ids":["https://openalex.org/I111236770"]},{"raw_affiliation_string":"The MITRE Corporation, McLean, USA","institution_ids":["https://openalex.org/I44896327"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5052932345","display_name":"Colin M. Van Oort","orcid":"https://orcid.org/0000-0002-2804-9696"},"institutions":[{"id":"https://openalex.org/I44896327","display_name":"Mitre (United States)","ror":"https://ror.org/03ks2a131","country_code":"US","type":"company","lineage":["https://openalex.org/I44896327"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Colin M. Van Oort","raw_affiliation_strings":["The MITRE Corporation,McLean,USA,VA 22012"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"The MITRE Corporation,McLean,USA,VA 22012","institution_ids":["https://openalex.org/I44896327"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5062403203","display_name":"James P. Bagrow","orcid":"https://orcid.org/0000-0002-4614-0792"},"institutions":[{"id":"https://openalex.org/I111236770","display_name":"University of Vermont","ror":"https://ror.org/0155zta11","country_code":"US","type":"education","lineage":["https://openalex.org/I111236770"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"James Bagrow","raw_affiliation_strings":["University of Vermont,Department of Mathematics and Statistics,Burlington,USA,VT 05405"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Vermont,Department of Mathematics and Statistics,Burlington,USA,VT 05405","institution_ids":["https://openalex.org/I111236770"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5112622606","display_name":"Matthew Koehler","orcid":null},"institutions":[{"id":"https://openalex.org/I44896327","display_name":"Mitre (United States)","ror":"https://ror.org/03ks2a131","country_code":"US","type":"company","lineage":["https://openalex.org/I44896327"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Matthew T. K. Koehler","raw_affiliation_strings":["The MITRE Corporation,McLean,USA,VA 22012"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"The MITRE Corporation,McLean,USA,VA 22012","institution_ids":["https://openalex.org/I44896327"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5050883332","display_name":"Brian F. Tivnan","orcid":"https://orcid.org/0000-0001-7079-8183"},"institutions":[{"id":"https://openalex.org/I111236770","display_name":"University of Vermont","ror":"https://ror.org/0155zta11","country_code":"US","type":"education","lineage":["https://openalex.org/I111236770"]},{"id":"https://openalex.org/I44896327","display_name":"Mitre (United States)","ror":"https://ror.org/03ks2a131","country_code":"US","type":"company","lineage":["https://openalex.org/I44896327"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Brian F. Tivnan","raw_affiliation_strings":["University of Vermont,Vermont Complex Systems Center,Burlington,USA,VT 05405","The MITRE Corporation, McLean, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Vermont,Vermont Complex Systems Center,Burlington,USA,VT 05405","institution_ids":["https://openalex.org/I111236770"]},{"raw_affiliation_string":"The MITRE Corporation, McLean, USA","institution_ids":["https://openalex.org/I44896327"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.1518,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":{"value":0.92362051,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":95,"max":98},"biblio":{"volume":null,"issue":null,"first_page":"1814","last_page":"1823"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9959999918937683,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9868000149726868,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stylized-fact","display_name":"Stylized fact","score":0.9557126760482788},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.5619891881942749},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4550340175628662},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.38227859139442444},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.32965320348739624},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.12988370656967163},{"id":"https://openalex.org/keywords/macroeconomics","display_name":"Macroeconomics","score":0.10317736864089966}],"concepts":[{"id":"https://openalex.org/C38935604","wikidata":"https://www.wikidata.org/wiki/Q4330363","display_name":"Stylized fact","level":2,"score":0.9557126760482788},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5619891881942749},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4550340175628662},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.38227859139442444},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.32965320348739624},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.12988370656967163},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.10317736864089966},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/bigdata59044.2023.10386957","is_oa":false,"landing_page_url":"https://doi.org/10.1109/bigdata59044.2023.10386957","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2023 IEEE International Conference on Big Data (BigData)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320312462","display_name":"University of Vermont","ror":"https://ror.org/0155zta11"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":51,"referenced_works":["https://openalex.org/W817612075","https://openalex.org/W1484077065","https://openalex.org/W1517994826","https://openalex.org/W1576326745","https://openalex.org/W1599154065","https://openalex.org/W1736876980","https://openalex.org/W1788744250","https://openalex.org/W1831584652","https://openalex.org/W1963787328","https://openalex.org/W1978485675","https://openalex.org/W1986395918","https://openalex.org/W1989243075","https://openalex.org/W1999917207","https://openalex.org/W2002286553","https://openalex.org/W2008195854","https://openalex.org/W2032484498","https://openalex.org/W2034358898","https://openalex.org/W2035164747","https://openalex.org/W2060380259","https://openalex.org/W2100011707","https://openalex.org/W2110200780","https://openalex.org/W2110348891","https://openalex.org/W2111417375","https://openalex.org/W2119643020","https://openalex.org/W2122514273","https://openalex.org/W2122960498","https://openalex.org/W2128726101","https://openalex.org/W2131687875","https://openalex.org/W2146399390","https://openalex.org/W2157403008","https://openalex.org/W2171287215","https://openalex.org/W2233030786","https://openalex.org/W2279452922","https://openalex.org/W2611011638","https://openalex.org/W2762951684","https://openalex.org/W2906653460","https://openalex.org/W2912567268","https://openalex.org/W2923350137","https://openalex.org/W3002949510","https://openalex.org/W3094258800","https://openalex.org/W3099728661","https://openalex.org/W3121609257","https://openalex.org/W3122813951","https://openalex.org/W3123025027","https://openalex.org/W3123386361","https://openalex.org/W3123772346","https://openalex.org/W3125414348","https://openalex.org/W4245184450","https://openalex.org/W4281784002","https://openalex.org/W6637740539","https://openalex.org/W6638726548"],"related_works":["https://openalex.org/W2899084033","https://openalex.org/W2748952813","https://openalex.org/W4391375266","https://openalex.org/W2529311304","https://openalex.org/W4248275646","https://openalex.org/W2992609826","https://openalex.org/W3124809058","https://openalex.org/W2552900035","https://openalex.org/W2062875858","https://openalex.org/W4380047323"],"abstract_inverted_index":{"In":[0],"2001,":[1],"Rama":[2],"Cont":[3],"introduced":[4],"a":[5,39,51,117],"now-widely":[6],"used":[7,67],"set":[8,111,119],"of":[9,16,42,82,108,112,120,136],"\u2018stylized":[10],"facts\u2019":[11],"to":[12,26,29],"synthesize":[13],"empirical":[14],"studies":[15],"financial":[17,31],"time":[18],"series,":[19],"resulting":[20],"in":[21,54,76,133],"11":[22,113],"qualitative":[23],"properties":[24],"presumed":[25],"be":[27,131],"universal":[28],"all":[30],"markets.":[32,139],"Here,":[33],"we":[34,87],"replicate":[35],"Cont\u2019s":[36,83,127],"analyses":[37],"for":[38,80,91,98],"convenience":[40],"sample":[41],"stocks":[43],"drawn":[44],"from":[45],"the":[46,61,69,77,99,105,109,134],"U.S.":[47,70],"stock":[48,138],"market":[49,55,79],"following":[50],"fundamental":[52],"shift":[53],"regulation.":[56],"Our":[57,102],"study":[58,103],"relies":[59],"on":[60],"same":[62],"authoritative":[63],"data":[64],"as":[65],"that":[66],"by":[68],"regulator.":[71],"We":[72],"find":[73,88],"conclusive":[74],"evidence":[75],"modern":[78,137],"eight":[81],"original":[84,110],"facts,":[85],"while":[86],"weak":[89],"support":[90,97],"one":[92],"additional":[93],"fact":[94],"and":[95],"no":[96],"remaining":[100],"two.":[101],"represents":[104],"first":[106],"test":[107],"stylized":[114,128],"facts":[115,129],"against":[116],"consistent":[118],"stocks,":[121],"therefore":[122],"providing":[123],"insight":[124],"into":[125],"how":[126],"should":[130],"viewed":[132],"context":[135]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":2}],"updated_date":"2026-06-26T08:34:08.712188","created_date":"2025-10-10T00:00:00"}
