Physics – Physics and Society
Scientific paper
2006-08-02
Physics
Physics and Society
5 pages, 4 figures, to appear in Physica A (APFA5 2006), corrected a few errors in references and text
Scientific paper
10.1016/j.physa.2007.02.009
We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $\sigma_i$ for the very large majority of stocks $i$, and the distribution itself is non-universal across stocks. The Hurst exponent of the same time series displays a crossover from weakly to strongly correlated behavior around the time scale of 1 day. The persistence in the strongly correlated regime increases with the average trading activity $\ev{f_i}$ as $H_i=H_0+\gamma\log\ev{f_i}$, which is another sign of non-universal behavior. The existence of such liquidity dependent correlations is consistent with the empirical observation that $\sigma_i\propto\ev{f_i}^\alpha$, where $\alpha$ is a non-trivial, time scale dependent exponent.
Eisler Zoltán
Kertesz Janos
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