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

Z. Eisler; J. Kertész

doi:10.1209/0295-5075/77/28001

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

Z. Eisler^*
, J. Kertész

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract (may include machine translation)

We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f_i(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
Article number	28001
Journal	EPL
Volume	77
Issue number	2
DOIs	https://doi.org/10.1209/0295-5075/77/28001
State	Published - 1 Jan 2007
Externally published	Yes

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

Abstract (may include machine translation)

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