  An analysis of the stylized facts in financial time series is carried out. We
find that, instead of the heavy tails in asset return distributions, the slow
decay behaviour in autocorrelation functions of absolute returns is actually
directly related to the degree of clustering of large fluctuations within the
financial time series. We also introduce an index to quantitatively measure the
clustering behaviour of fluctuations in these time series and show that big
losses in financial markets usually lump more severely than big gains. We
further give examples to demonstrate that comparing to conventional methods,
our index enables one to extract more information from the financial time
series.
