  In 2001, Rama Cont introduced a now-widely used set of 'stylized facts' to
synthesize empirical studies of financial price changes (returns), resulting in
11 statistical properties common to a large set of assets and markets. These
properties are viewed as constraints a model should be able to reproduce in
order to accurately represent returns in a market. It has not been established
whether the characteristics Cont noted in 2001 still hold for modern markets
following significant regulatory shifts and technological advances. It is also
not clear whether a given time series of financial returns for an asset will
express all 11 stylized facts. We test both of these propositions by attempting
to replicate each of Cont's 11 stylized facts for intraday returns of the
individual stocks in the Dow 30, using the same authoritative data as that used
by the U.S. regulator from October 2018 - March 2019. We find conclusive
evidence for eight of Cont's original facts and no support for the remaining
three. Our study represents the first test of Cont's 11 stylized facts against
a consistent set of stocks, therefore providing insight into how these stylized
facts should be viewed in the context of modern stock markets.
