Cross-correlations in volume space: Differences between buy and sell volumes |
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Authors: | Sun Young Lee Dong Il HwangMin Jae Kim In Gyu KohSoo Yong Kim |
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Affiliation: | Department of Physics, Korea Advanced Institute of Science and Technology, Republic of Korea |
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Abstract: | We study the cross-correlations of buy and sell volumes on the Korean stock market in high frequency. We observe that the pulling effects of volumes are as small as that of returns. The properties of the correlations of buy and sell volumes differ. They are explained by the degree of synchronization of stock volumes. Further, the pulling effects on the minimal spanning tree are studied. In minimal spanning trees with directed links, the large pulling effects are clustered at the center, not uniformly distributed. The Epps effect of buy and sell volumes are observed. The reversal of the cross-correlations of buy and sell volumes is also detected. |
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Keywords: | Cross-correlations Volumes Pulling effect Minimal spanning tree Epps effect Frequency scale Synchronization |
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