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International Financial Markets Through 150 Years: Evaluating Stylized Facts

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arxiv 2504.08611 v1 pith:E7O66ZED submitted 2025-04-11 q-fin.ST q-fin.GN

Sara A. Safari , Maximilian Janisch , Thomas Lehéricy This is my paper
classification q-fin.STq-fin.GN
keywords financialstylizedfactsacrossdatamarketmarketstime
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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.

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    LLM-discovered stochastic models of price paths provide risk metrics that improve trader-agent decisions, raising average Sharpe ratios from 0.88 to 1.40 in the paper's backtests.

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