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

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

2009-04-07

arxiv.org/abs/0904.1042v1

Physics Procedia,Volume 3, Issue 5, August 2010, Pages 1631-1640

Economy

Quantitative Finance

Statistical Finance

12 pages, 6 figures, 1 table

Scientific paper

10.1016/j.phpro.2010.07.003

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.

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