The dynamics of traded value revisited |
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Authors: | Zoltá n Eisler |
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Affiliation: | Department of Theoretical Physics, Budapest University of Technology and Economics, Budapest, Hungary |
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Abstract: | We conclude from an analysis of high resolution NYSE data that the distribution of the traded value fi (or volume) has a finite variance σi 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 〈fi〉 as , which is another sign of non-universal behavior. The existence of such liquidity dependent correlations is consistent with the empirical observation that σi∝〈fi〉α, where α is a non-trivial, time scale dependent exponent. |
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Keywords: | Econophysics Scaling Non-universality Correlations Liquidity |
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