Liquidity and the multiscaling properties of the volume traded on the stock marketZ. 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
received 19 June 2006; accepted in final form 20 November 2006; published January 2007
published online 9 January 2007
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 60390 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 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.
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