| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 976371 | Physica A: Statistical Mechanics and its Applications | 2009 | 8 Pages |
Abstract
The cumulative distribution of trading volume is investigated for Chinese stocks. Different from the power-law scaling of mature markets, the distribution is well fitted by a stretched exponential function f(x)∼e−αxγ. With the autocorrelation function and the detrended fluctuation analysis, the long-range autocorrelation of trading volume is revealed. The conditional dependence of volume on volatility and the volume–volatility cross-correlation are studied, and a positive long-range correlation between volume and volatility is observed.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
T. Qiu, L.X. Zhong, G. Chen, X.R. Wu,