Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2000-08-07
Phys. Rev. E. (Rapid Comm.), 62 (2000) R4493.
Physics
Condensed Matter
Statistical Mechanics
4 pages, two-column format, four figures
Scientific paper
10.1103/PhysRevE.62.R4493
We quantitatively investigate the ideas behind the often-expressed adage `it takes volume to move stock prices', and study the statistical properties of the number of shares traded $Q_{\Delta t}$ for a given stock in a fixed time interval $\Delta t$. We analyze transaction data for the largest 1000 stocks for the two-year period 1994-95, using a database that records every transaction for all securities in three major US stock markets. We find that the distribution $P(Q_{\Delta t})$ displays a power-law decay, and that the time correlations in $Q_{\Delta t}$ display long-range persistence. Further, we investigate the relation between $Q_{\Delta t}$ and the number of transactions $N_{\Delta t}$ in a time interval $\Delta t$, and find that the long-range correlations in $Q_{\Delta t}$ are largely due to those of $N_{\Delta t}$. Our results are consistent with the interpretation that the large equal-time correlation previously found between $Q_{\Delta t}$ and the absolute value of price change $| G_{\Delta t} |$ (related to volatility) are largely due to $N_{\Delta t}$.
Gabaix Xavier
Gopikrishnan Parameswaran
Plerou Vasiliki
Stanley Eugene H.
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