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Liquidity and the multiscaling properties of the volume traded on the stock market

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  • Zoltan Eisler
  • Janos Kertesz

Abstract

We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both regimes, the Hurst exponent H depends logarithmically on the liquidity of the stock, measured by the mean traded value per minute. All multiscaling exponents tau(q) display a similar liquidity dependence, which clearly indicates the lack of a universal form assumed by other studies. The origin of this behavior is both the long memory in the frequency and the size of consecutive transactions.

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  • Zoltan Eisler & Janos Kertesz, 2006. "Liquidity and the multiscaling properties of the volume traded on the stock market," Papers physics/0606161, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0606161
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