dorsal/arxiv
View SchemaWhy do Hurst exponents of traded value increase as the logarithm of company size?
| Authors | Zoltan Eisler, Janos Kertesz |
|---|---|
| Categories | |
| ArXiv ID | physics/0603098 |
| URL | https://arxiv.org/abs/physics/0603098 |
| DOI | 10.1007/978-88-470-0502-0_5 |
Abstract
The common assumption of universal behavior in stock market data can sometimes lead to false conclusions. In statistical physics, the Hurst exponents characterizing long-range correlations are often closely related to universal exponents. We show, that in the case of time series of the traded value, these Hurst exponents increase logarithmically with company size, and thus are non-universal. Moreover, the average transaction size shows scaling with the mean transaction frequency for large enough companies. We present a phenomenological scaling framework that properly accounts for such dependencies.
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"abstract": "The common assumption of universal behavior in stock market data can\nsometimes lead to false conclusions. In statistical physics, the Hurst\nexponents characterizing long-range correlations are often closely related to\nuniversal exponents. We show, that in the case of time series of the traded\nvalue, these Hurst exponents increase logarithmically with company size, and\nthus are non-universal. Moreover, the average transaction size shows scaling\nwith the mean transaction frequency for large enough companies. We present a\nphenomenological scaling framework that properly accounts for such\ndependencies.",
"arxiv_id": "physics/0603098",
"authors": [
"Zoltan Eisler",
"Janos Kertesz"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1007/978-88-470-0502-0_5",
"title": "Why do Hurst exponents of traded value increase as the logarithm of company size?",
"url": "https://arxiv.org/abs/physics/0603098"
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