Liquidity and the multiscaling properties of the volume traded on the stock market

Z. Eisler, J. Kertész

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Article number28001
JournalEPL
Volume77
Issue number2
DOIs
StatePublished - 1 Jan 2007
Externally publishedYes

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