Long-term correlations and multifractality in trading volumes for Chinese stocks

Guo Hua Mu, Wei Xing Zhou, Wei Chen, Janos Kertesz

Research output: Contribution to journalArticlepeer-review

Abstract (may include machine translation)

We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that non-universal long memory exhibits size-dependence on the trading volume, while the multifractal nature is independent of the trading volume. No crossover in the power-law dependence of the detrended fluctuation functions is observed. Our results show that the intraday pattern in the trading volume has negligible impact on the long memory and multifractality. We also find that both the long memory and probability distribution of trading volume have important influence on the multifractal nature.

Original languageEnglish
Pages (from-to)1631-1640
Number of pages10
JournalPhysics Procedia
Volume3
Issue number5
DOIs
StatePublished - 2010
Externally publishedYes

Keywords

  • Correlation
  • Econophysics
  • Intraday pattern
  • Multifractality
  • Trading volume

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