Self-similarity and non-Markovian behavior in traded stock volumes

Frank R. Brown, David Pravica and Martin Bier ()

The European Physical Journal B: Condensed Matter and Complex Systems, 2015, vol. 88, issue 11, 1-9

Abstract: The volume traded daily for 17 stocks is followed over a period of about half a century. We look at the volume of stocks traded in a certain time interval (day, week, month) and analyze how long that traded volume keeps monotonically increasing or decreasing. On all three times scales we find that the sequence of traded volumes behaves neither like a sequence of independent and identically distributed variables, nor like a Markov sequence. A compressed exponential survival function with the same parameters at all timescales is firmly established. A day with an increase (decrease) of traded volume is most likely followed by a day with a decrease (increase) of traded volume. We show how the apparent self-similarity results because the small day-to-day anticorrelation carries over when larger time intervals are considered. The observed small anticorrelation can be explained as a consequence of market forces and trader reactions. Copyright The Author(s) 2015

Keywords: Statistical and Nonlinear Physics (search for similar items in EconPapers)
Date: 2015
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1140/epjb/e2015-60687-x (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurphb:v:88:y:2015:i:11:p:1-9:10.1140/epjb/e2015-60687-x

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/10051

DOI: 10.1140/epjb/e2015-60687-x

Access Statistics for this article

The European Physical Journal B: Condensed Matter and Complex Systems is currently edited by P. Hänggi and Angel Rubio

More articles in The European Physical Journal B: Condensed Matter and Complex Systems from Springer, EDP Sciences
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().