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
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
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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 Ïi 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 ãfiã as Hi=H0+γlogãfiã, which is another sign of non-universal behavior. The existence of such liquidity dependent correlations is consistent with the empirical observation that Ïiâãfiãα, 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
Journal: Physica A: Statistical Mechanics and its Applications - Volume 382, Issue 1, 1 August 2007, Pages 66-72
نویسندگان
Zoltán Eisler, János Kertész,