Issue
EPL
Volume 77, Number 2, January 2007
Article Number 28001
Number of page(s) 5
Section Interdisciplinary Physics and Related Areas of Science and Technology
DOI http://dx.doi.org/10.1209/0295-5075/77/28001
Published online 09 January 2007
EPL, 77 (2007) 28001
DOI: 10.1209/0295-5075/77/28001

Liquidity and the multiscaling properties of the volume traded on the stock market

Z. Eisler1 and J. Kertész1, 2

1  Department of Theoretical Physics, Budapest University of Technology and Economics - Budapest, Hungary
2  Laboratory of Computational Engineering, Helsinki University of Technology - Espoo, Finland

eisler@maxwell.phy.bme.hu

received 19 June 2006; accepted in final form 20 November 2006; published January 2007
published online 9 January 2007

Abstract
We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity fi(t) of each stock i displays a crossover from weaker to stronger correlations at time scales 60$\hbox{--} $390 minutes. In both regimes, the Hurst exponent H depends logarithmically on the liquidity of the stock, measured by the mean traded value per minute. All multiscaling exponents $\tau (q)$ display a similar liquidity dependence, which clearly indicates the lack of a universal form assumed by other studies. The origin of this behavior is both the long memory in the frequency and the size of consecutive transactions.

PACS
89.75.-k - Complex systems .
05.40.-a - Fluctuation phenomena, random processes, noise, and Brownian motion .
89.65.Gh - Economics; econophysics, financial markets, business and management .

© Europhysics Letters Association 2007