dorsal/arxiv
View SchemaSize matters: some stylized facts of the stock market revisited
| Authors | Zoltan Eisler, Janos Kertesz |
|---|---|
| Categories | |
| ArXiv ID | physics/0508156 |
| URL | https://arxiv.org/abs/physics/0508156 |
| DOI | 10.1140/epjb/e2006-00189-6 |
| Journal | Eur. Phys. J. B 51, 145-154 (2006) |
Abstract
We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company capitalization. We show that the second moment of the traded value distribution is finite. Consequently, the Hurst exponents for the corresponding time series can be calculated. These are, however, non-universal: The persistence grows with larger capitalization and this results in a logarithmically increasing Hurst exponent. A similar trend is displayed by intertrade time intervals. Finally, we demonstrate that the distribution of the intertrade times is better described by a multiscaling ansatz than by simple gap scaling.
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"abstract": "We reanalyze high resolution data from the New York Stock Exchange and find a\nmonotonic (but not power law) variation of the mean value per trade, the mean\nnumber of trades per minute and the mean trading activity with company\ncapitalization. We show that the second moment of the traded value distribution\nis finite. Consequently, the Hurst exponents for the corresponding time series\ncan be calculated. These are, however, non-universal: The persistence grows\nwith larger capitalization and this results in a logarithmically increasing\nHurst exponent. A similar trend is displayed by intertrade time intervals.\nFinally, we demonstrate that the distribution of the intertrade times is better\ndescribed by a multiscaling ansatz than by simple gap scaling.",
"arxiv_id": "physics/0508156",
"authors": [
"Zoltan Eisler",
"Janos Kertesz"
],
"categories": [
"physics.soc-ph",
"cond-mat.stat-mech",
"q-fin.ST"
],
"doi": "10.1140/epjb/e2006-00189-6",
"journal_ref": "Eur. Phys. J. B 51, 145-154 (2006)",
"title": "Size matters: some stylized facts of the stock market revisited",
"url": "https://arxiv.org/abs/physics/0508156"
},
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