Volume 121, Number 5, March 2018
|Number of page(s)||6|
|Section||Interdisciplinary Physics and Related Areas of Science and Technology|
|Published online||18 April 2018|
Cross-sectional fluctuation scaling in the high-frequency illiquidity of Chinese stocks
1 Department of Finance, East China University of Science and Technology - Shanghai 200237, China
2 Research Center for Econophysics, East China University of Science and Technology - Shanghai 200237, China
3 Department of Mathematics, East China University of Science and Technology - Shanghai 200237, China
4 Center for Polymer Studies and Department of Physics, Boston University - Boston, MA 02215, USA
Received: 29 March 2018
Accepted: 6 April 2018
Taylor's law of temporal and ensemble fluctuation scaling has been ubiquitously observed in diverse complex systems including financial markets. Stock illiquidity is an important nonadditive financial quantity, which is found to comply with Taylor's temporal fluctuation scaling law. In this paper, we perform the cross-sectional analysis of the 1 min high-frequency illiquidity time series of Chinese stocks and unveil the presence of Taylor's law of ensemble fluctuation scaling. The estimated daily Taylor scaling exponent fluctuates around 1.442. We find that Taylor's scaling exponents of stock illiquidity do not relate to the ensemble mean and ensemble variety of returns. Our analysis uncovers a new scaling law of financial markets and might stimulate further investigations for a better understanding of financial markets' dynamics.
PACS: 89.75.Da – Systems obeying scaling laws / 89.65.Gh – Economics; econophysics, financial markets, business and management / 05.40.-a – Fluctuation phenomena, random processes, noise, and Brownian motion
© EPLA, 2018
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