Scaling theory of temporal correlations and size dependent fluctuations in the traded value of stocks
| dc.creator | Eisler, Zoltan | |
| dc.creator | Kertesz, Janos | |
| dc.date | 2005-10-07 | |
| dc.date | 2006-05-17 | |
| dc.date.accessioned | 2026-07-07T12:07:39Z | |
| dc.date.available | 2026-07-07T12:07:39Z | |
| dc.description | Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average <f(i)>: sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The non-trivial (i.e., neither 0.5 nor 1) value of alpha may have different origins and provides information about the microscopic dynamics. We present a set of recently discovered stylized facts, and then show their connection to such behavior. The functional form alpha(dt) originates from two aspects of the dynamics: Stocks of larger companies both tend to be traded in larger packages, and also display stronger correlations of traded value. | |
| dc.description | 8 pages, 7 figures, 1 table, accepted to Phys. Rev. E | |
| dc.identifier | https://arxiv.org/abs/physics/0510058 | |
| dc.identifier | http://arxiv.org/abs/physics/0510058 | |
| dc.identifier | Phys. Rev. E 73, 046109 (2006) | |
| dc.identifier | doi:10.1103/PhysRevE.73.046109 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/209045 | |
| dc.subject | Physics and Society | |
| dc.subject | Data Analysis, Statistics and Probability | |
| dc.subject | Statistical Finance | |
| dc.title | Scaling theory of temporal correlations and size dependent fluctuations in the traded value of stocks | |
| dc.type | text |