Long-term correlations and multifractal analysis of trading volumes for Chinese stocks

Guo-Hua Mu, Wei Chen, J\'anos Kert\'esz and Wei-Xing Zhou

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Abstract: We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading volume exhibit size-dependent non-universal long memory and multifractal nature. No crossover in the power-law dependence of the detrended fluctuation functions is observed. Our results show that the intraday pattern in the trading volume has negligible impact on the long memory and multifractality.

Date: 2009-04
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Published in Physics Procedia,Volume 3, Issue 5, August 2010, Pages 1631-1640

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