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

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dc.creatorEisler, Zoltan
dc.creatorKertesz, Janos
dc.date2006-06-19
dc.date.accessioned2026-07-07T12:07:46Z
dc.date.available2026-07-07T12:07:46Z
dc.descriptionWe investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock 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 tau(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.
dc.description7 pages, 3 figures, submitted to Europhysics Letters
dc.identifierhttps://arxiv.org/abs/physics/0606161
dc.identifierhttp://arxiv.org/abs/physics/0606161
dc.identifierEurophys. Lett. 77, 28001 (2007)
dc.identifierdoi:10.1209/0295-5075/77/28001
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209086
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleLiquidity and the multiscaling properties of the volume traded on the stock market
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