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Cross-correlations in volume space: Differences between buy and sell volumes

Author

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  • Lee, Sun Young
  • Hwang, Dong Il
  • Kim, Min Jae
  • Koh, In Gyu
  • Kim, Soo Yong

Abstract

We study the cross-correlations of buy and sell volumes on the Korean stock market in high frequency. We observe that the pulling effects of volumes are as small as that of returns. The properties of the correlations of buy and sell volumes differ. They are explained by the degree of synchronization of stock volumes. Further, the pulling effects on the minimal spanning tree are studied. In minimal spanning trees with directed links, the large pulling effects are clustered at the center, not uniformly distributed. The Epps effect of buy and sell volumes are observed. The reversal of the cross-correlations of buy and sell volumes is also detected.

Suggested Citation

  • Lee, Sun Young & Hwang, Dong Il & Kim, Min Jae & Koh, In Gyu & Kim, Soo Yong, 2011. "Cross-correlations in volume space: Differences between buy and sell volumes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 837-846.
    • Handle: RePEc:eee:phsmap:v:390:y:2011:i:5:p:837-846
    DOI: 10.1016/j.physa.2010.11.012
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    Citations

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    Cited by:

    1. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    2. Shen, Chen-hua & Li, Chao-ling & Si, Ya-li, 2015. "A detrended cross-correlation analysis of meteorological and API data in Nanjing, China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 417-428.
    3. Zhuang, Xiaoyang & Wei, Yu & Zhang, Bangzheng, 2014. "Multifractal detrended cross-correlation analysis of carbon and crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 113-125.
    4. Ulusoy, Tolga & Keskin, Mustafa & Shirvani, Ayoub & Deviren, Bayram & Kantar, Ersin & Çaǧrı Dönmez, Cem, 2012. "Complexity of major UK companies between 2006 and 2010: Hierarchical structure method approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(21), pages 5121-5131.

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