Dynamics of the number of trades of financial securities

Giovanni Bonanno, Fabrizio Lillo and Rosario Mantegna

Physica A: Statistical Mechanics and its Applications, 2000, vol. 280, issue 1, 136-141

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/f2 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.

Keywords: Econophysics; Stochastic processes; 1/f noise (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (12)

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Related works:
Working Paper: Dynamics of the Number of Trades of Financial Securities (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:280:y:2000:i:1:p:136-141

DOI: 10.1016/S0378-4371(99)00629-9

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