Cont (2001) listed the following statistical properties common to most financial assets (assets returns and exchange rates):
- Absence of autocorrelations
- Heavy tails
- Gain/loss asymmetry
- Aggregational Gaussianity
- Intermittency
- Volatility clustering
- Conditional heavy tails
- Slow decay of autocorrelation in absolute returns
- Leverage effect
- Volume/volatility correlation
- Asymmetry in time scales
Reference
Cont, R. (2001). Empirical properties of asset returns: Stylized facts and statistical issues. Quantitative Finance, 1(1), 223-236. [pdf]