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Power law cross-correlations between price change and volume change of Indian stocks

Rashid Hasan and M. Mohammed Salim

Physica A: Statistical Mechanics and its Applications, 2017, vol. 473, issue C, 620-631

Abstract: We study multifractal long-range correlations and cross-correlations of daily price change and volume change of 50 stocks that comprise Nifty index of National Stock Exchange, Mumbai, using MF-DFA and MF-DCCA methods. We find that the time series of price change are uncorrelated, whereas anti-persistent long-range multifractal correlations are found in volume change series. We also find antipersistent long-range multifractal cross-correlations between the time series of price change and volume change. As multifractality is a signature of complexity, we estimate complexity parameters of the time series of price change, volume change, and cross-correlated price–volume change by fitting the fourth-degree polynomials to their multifractal spectra. Our results indicate that the time series of price change display high complexity, whereas the time series of volume change and cross-correlated price–volume change display low complexity.

Keywords: Multifractality; MF-DCCA; MF-DFA; Price volume crosscorrelations; Multifractal spectrum; Complexity (search for similar items in EconPapers)
Date: 2017
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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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