Dynamics of the Number of Trades of Financial Securities

Giovanni Bonanno, Fabrizio Lillo and Rosario Mantegna

Papers from arXiv.org

Abstract: We perform a parallel analysis of the spectral density of (i) the logarithm of price and (ii) the daily number of trades of a set of stocks traded in the New York Stock Exchange. The stocks are selected to be representative of a wide range of stock capitalization. The observed spectral densities show a different power-law behavior. We confirm the $1/f^2$ behavior for the spectral density of the logarithm of stock price whereas we detect a $1/f$-like behavior for the spectral density of the daily number of trades.

Date: 1999-12
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Published in Physica A, 280, (2000), 136-141

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Journal Article: Dynamics of the number of trades of financial securities (2000)
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