Liquidity and the multiscaling properties of the volume traded on the stock market

Zoltan Eisler and Janos Kertesz

Papers from arXiv.org

Abstract: We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both regimes, the Hurst exponent H depends logarithmically on the liquidity of the stock, measured by the mean traded value per minute. All multiscaling exponents tau(q) display a similar liquidity dependence, which clearly indicates the lack of a universal form assumed by other studies. The origin of this behavior is both the long memory in the frequency and the size of consecutive transactions.

Date: 2006-06
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Published in Europhys. Lett. 77, 28001 (2007)

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