کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
979578 933371 2007 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The dynamics of traded value revisited
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
The dynamics of traded value revisited
چکیده انگلیسی
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 Hi=H0+γlog〈fi〉, 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 382, Issue 1, 1 August 2007, Pages 66-72
نویسندگان
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