Abstract (may include machine translation)
We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity fi(t) of each stock i displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both regimes, the Hurst exponent H depends logarithmically on the liquidity of the stock, measured by the mean traded value per minute. All multiscaling exponents τ(q) display a similar liquidity dependence, which clearly indicates the lack of a universal form assumed by other studies. The origin of this behavior is both the long memory in the frequency and the size of consecutive transactions.
Original language | English |
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Article number | 28001 |
Journal | EPL |
Volume | 77 |
Issue number | 2 |
DOIs | |
State | Published - 1 Jan 2007 |
Externally published | Yes |