Volume 77, Number 2, January 2007
|Number of page(s)||5|
|Section||Interdisciplinary Physics and Related Areas of Science and Technology|
|Published online||09 January 2007|
Liquidity and the multiscaling properties of the volume traded on the stock market
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: email@example.com
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 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.
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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