Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Non-Gaussianity of the Intraday Returns Distribution: its evolution in
  time   We find a remarkable time persistence of various proxies for the kurtosis
(p-kurtosis) of the intraday returns distribution for the S&P500 index and this
permits a significant measure of their evolution from 1983 to 2004. There
appears a long time scale dramatic variation of the p-kurtosis uncorrelated
with the variation of the volatility thus falsifying any hypothesis of a
universal shape for the probability distribution of the returns. A large
increase in the kurtosis anticipates the October 87 crash. During the years
1991-2003 it continuously decreases even when the volatility grows during the
dot-com bubble. We propose some speculative interpretations of these results.

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The categories of this paper are: quant-ph
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The categories of this paper are: alg-geom
31
The categories of this paper are: ao-sci
5
The categories of this paper are: gr-qc
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The categories of this paper are: hep-ex
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The categories of this paper are: astro-ph
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The categories of this paper are: acc-phys
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The categories of this paper are: econ
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The categories of this paper are: cmp-lg
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The categories of this paper are: math-ph
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The categories of this paper are: q-alg
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The categories of this paper are: solv-int
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The categories of this paper are: nucl-th
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The categories of this paper are: plasm-ph
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The categories of this paper are: atom-ph
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The categories of this paper are: dg-ga