| 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 | https://doi.org/10.1209/0295-5075/77/28001 | |
| Published online | 09 January 2007 | |
Liquidity and the multiscaling properties of the volume traded on the stock market
1
Department of Theoretical Physics, Budapest University of Technology and Economics - Budapest, Hungary
2
Laboratory of Computational Engineering, Helsinki University of Technology - Espoo, Finland
Corresponding author: eisler@maxwell.phy.bme.hu
Received:
19
June
2006
Accepted:
20
November
2006
We investigate the correlation properties of transaction data from the New York Stock
Exchange. The trading activity 
of each stock i displays a crossover
from weaker to stronger correlations at time scales 60
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 
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
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