Autor:	Mu, Guo-Hua, Chen, Wei, Kertész, János, Zhou, Wei-Xing
Rok vydání:	2009
Předmět:	Quantitative Finance - Statistical Finance
Zdroj:	Physics Procedia,Volume 3, Issue 5, August 2010, Pages 1631-1640
Druh dokumentu:	Working Paper
DOI:	10.1016/j.phpro.2010.07.003
Popis:	We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading volume exhibit size-dependent non-universal long memory and multifractal nature. No crossover in the power-law dependence of the detrended fluctuation functions is observed. Our results show that the intraday pattern in the trading volume has negligible impact on the long memory and multifractality. Comment: 12 pages, 6 figures, 1 table
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/0904.1042 Zobrazit plný text záznamu View this record from Arxiv