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

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

2006-06-19

arxiv.org/abs/physics/0606161v1

Europhys. Lett. 77, 28001 (2007)

Physics

Physics and Society

7 pages, 3 figures, submitted to Europhysics Letters

Scientific paper

10.1209/0295-5075/77/28001

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.

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