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Why do Hurst exponents of traded value increase as the logarithm of company size?

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  • Zoltan Eisler
  • Janos Kertesz

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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  • Zoltan Eisler & Janos Kertesz, 2006. "Why do Hurst exponents of traded value increase as the logarithm of company size?," Papers physics/0603098, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0603098
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    1. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871, October.
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    Cited by:

    1. Qing Cai & Hai-Chuan Xu & Wei-Xing Zhou, 2016. "Taylor's Law of temporal fluctuation scaling in stock illiquidity," Papers 1610.01149, arXiv.org.

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