Statistical properties of trading volume of Chinese stocks

T. Qiu, L.X. Zhong, G. Chen and X.R. Wu

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 12, 2427-2434

Abstract: The cumulative distribution of trading volume is investigated for Chinese stocks. Different from the power-law scaling of mature markets, the distribution is well fitted by a stretched exponential function f(x)∼e−αxγ. With the autocorrelation function and the detrended fluctuation analysis, the long-range autocorrelation of trading volume is revealed. The conditional dependence of volume on volatility and the volume–volatility cross-correlation are studied, and a positive long-range correlation between volume and volatility is observed.

Keywords: Econophysics; Stock markets; Trading volume (search for similar items in EconPapers)
Date: 2009
References: View complete reference list from CitEc
Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:12:p:2427-2434

DOI: 10.1016/j.physa.2009.02.038

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