The dynamics of traded value revisited

Zoltán Eisler and János Kertész

Physica A: Statistical Mechanics and its Applications, 2007, vol. 382, issue 1, 66-72

Abstract: We conclude from an analysis of high resolution NYSE data that the distribution of the traded value fi (or volume) has a finite variance σi for the very large majority of stocks i, and the distribution itself is non-universal across stocks. The Hurst exponent of the same time series displays a crossover from weakly to strongly correlated behavior around the time scale of 1 day. The persistence in the strongly correlated regime increases with the average trading activity 〈fi〉 as Hi=H0+γlog〈fi〉, which is another sign of non-universal behavior. The existence of such liquidity dependent correlations is consistent with the empirical observation that σi∝〈fi〉α, where α is a non-trivial, time scale dependent exponent.

Keywords: Econophysics; Scaling; Non-universality; Correlations; Liquidity (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:382:y:2007:i:1:p:66-72

DOI: 10.1016/j.physa.2007.02.009

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