Statistical analysis of high frequency data from the Athens stock exchange

This paper investigates the statistical behaviour of high-frequency index data from the Athens Stock Exchange. We find that 1 min observations on the General Index of the Main Market for the three month period from 1 June 1998 to 10 September 1998 are characterised by very short run persistence and scaling with a break point of 1 h, so that the persistence reflects intra-hour correlation. 1 min returns are highly leptokurtic, but multi-period returns recover Gaussianity after 8–9 days. Volatility also scales, but with a cross-over point of 1 day, with long-run correlations being particularly important.