Size matters: some stylized facts of the stock market revisited

Details Size matters: some stylized facts of the stock market revisited Size matters: some stylized facts of the stock market revisited

2005-08-22

arxiv.org/abs/physics/0508156v4

Eur. Phys. J. B 51, 145-154 (2006)

Physics

Physics and Society

10 pages, 13 figures, 2 tables, accepted to Eur. Phys. J. B, updated references, fixed some minor errors

Scientific paper

10.1140/epjb/e2006-00189-6

We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company capitalization. We show that the second moment of the traded value distribution is finite. Consequently, the Hurst exponents for the corresponding time series can be calculated. These are, however, non-universal: The persistence grows with larger capitalization and this results in a logarithmically increasing Hurst exponent. A similar trend is displayed by intertrade time intervals. Finally, we demonstrate that the distribution of the intertrade times is better described by a multiscaling ansatz than by simple gap scaling.

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